PENGARUH ECONOMIC VALUE ADDED (EVA) DAN MARKET VALUE ADDED (MVA) TERHADAP RETURN SAHAM DENGAN UKURAN PERUSAHAAN SEBAGAI MODERASI

SITI MAHMUDAH, . (2026) PENGARUH ECONOMIC VALUE ADDED (EVA) DAN MARKET VALUE ADDED (MVA) TERHADAP RETURN SAHAM DENGAN UKURAN PERUSAHAAN SEBAGAI MODERASI. Magister thesis, UNIVERSITAS NEGERI JAKARTA.

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Abstract

Penelitian ini dilatarbelakangi oleh pentingnya informasi kinerja keuangan sebagai sinyal bagi investor dalam mengambil keputusan investasi. economic value added (EVA) dan market value added (MVA) merupakan indikator kinerja berbasis nilai yang mencerminkan kemampuan perusahaan dalam menciptakan nilai ekonomi dan meningkatkan kesejahteraan pemegang saham. Namun, penelitian terdahulu menunjukkan hasil yang belum konsisten mengenai pengaruh EVA dan MVA terhadap return saham. Selain itu, ukuran perusahaan diperkirakan dapat memperkuat sinyal yang disampaikan perusahaan kepada investor. Oleh karena itu, penelitian ini bertujuan untuk menganalisis pengaruh economic value added (EVA) dan market value added (MVA) terhadap return saham serta menguji peran moderasi ukuran perusahaan pada perusahaan sektor consumer cyclicals yang terdaftar di Bursa Efek Indonesia selama periode 2021–2024. Penelitian ini menggunakan pendekatan kuantitatif dengan data sekunder yang diperoleh dari laporan keuangan tahunan dan data pasar modal perusahaan sektor consumer cyclicals yang terdaftar di Bursa Efek Indonesia selama periode 2021–2024. Analisis data dilakukan menggunakan regresi data panel. Model random effect model (REM) dipilih sebagai model estimasi yang paling sesuai berdasarkan hasil uji Chow, Hausman, dan Lagrange Multiplier. Pengujian efek moderasi ukuran perusahaan dilakukan menggunakan moderated regression analysis (MRA) pada tingkat signifikansi 5%. Hasil penelitian menunjukkan bahwa economic value added (EVA) berpengaruh negatif dan signifikan terhadap return saham dengan nilai koefisien sebesar −0,005660 dan nilai probabilitas 0,0000. Ukuran perusahaan berpengaruh positif dan signifikan terhadap return saham dengan nilai koefisien sebesar 0,053414 dan nilai probabilitas 0,0141. Selain itu, interaksi antara EVA dan ukuran perusahaan memiliki nilai koefisien sebesar −0,001527 dan nilai probabilitas 0,0400, yang menunjukkan bahwa ukuran perusahaan secara signifikan memoderasi hubungan antara EVA dan return saham. Sebaliknya, market value added (MVA) interaksi antara MVA dan ukuran perusahaan tidak berpengaruh signifikan terhadap return saham. Nilai adjusted R-squared menunjukkan bahwa variabel independen mampu menjelaskan sebagian variasi return saham, sedangkan sisanya dijelaskan oleh faktor-faktor lain di luar model penelitian. Kesimpulannya, economic value added (EVA) berpengaruh negatif dan signifikan terhadap return saham, sedangkan market value added tidak berpengaruh terhadap return saham, sementara itu, ukuran perusahaan secara langsung berpengaruh positif dan signifikan terhadap return saham. Selain itu, ukuran perusahaan mampu memoderasi hubungan antara EVA dan return saham, tetapi tidak mampu memoderasi hubungan antara MVA dan return saham. Temuan ini menunjukkan bahwa ukuran perusahaan dapat memperlemah peran EVA sebagai sinyal bagi investor dalam menilai prospek perusahaan, namun tidak memperkuat maupun memperlemah pengaruh MVA terhadap return saham. ***** This study is motivated by the importance of financial performance information as a signal for investors in making investment decisions. Economic Value Added (EVA) and Market Value Added (MVA) are value-based performance indicators that reflect a company's ability to create economic value and enhance shareholder wealth. However, previous studies show inconsistent results regarding the effect of EVA and MVA on stock returns. Additionally, firm size is expected to strengthen the signal conveyed by companies to investors. Therefore, this study aims to analyze the effect of Economic Value Added (EVA) and Market Value Added (MVA) on stock returns, as well as to examine the moderating role of firm size in consumer cyclicals sector companies listed on the Indonesia Stock Exchange during the 2021–2024 period. This study adopts a quantitative approach using secondary data obtained from annual financial reports and capital market data of consumer cyclicals sector companies listed on the Indonesia Stock Exchange for the 2021–2024 period. Data analysis was conducted using panel data regression. The Random Effect Model (REM) was selected as the most appropriate estimation model based on the results of the Chow, Hausman, and Lagrange Multiplier tests. The moderating effect of firm size was tested using Moderated Regression Analysis (MRA) at a 5% significance level. The results show that Economic Value Added (EVA) has a negative and significant effect on stock returns, with a coefficient value of −0.005660 and a probability value of 0.0000. Firm size has a positive and significant effect on stock returns, with a coefficient value of 0.053414 and a probability value of 0.0141. Furthermore, the interaction between EVA and firm size has a coefficient value of −0.001527 and a probability value of 0.0400, indicating that firm size significantly moderates the relationship between EVA and stock returns. Conversely, Market Value Added (MVA) and the interaction between MVA and firm size do not have a significant effect on stock returns. The adjusted R-squared value indicates that the independent variables explain a portion of the variation in stock returns, while the remainder is explained by other factors outside the research model. In conclusion, Economic Value Added (EVA) has a negative and significant effect on stock returns, whereas Market Value Added does not affect stock returns; meanwhile, firm size directly exerts a positive and significant effect on stock returns. Additionally, firm size moderates the relationship between EVA and stock returns, but fails to moderate the relationship between MVA and stock returns. These findings suggest that firm size weakens the role of EVA as a signal for investors in evaluating company prospects, but neither strengthens nor weakens the influence of MVA on stock returns.

Item Type:	Thesis (Magister)
Additional Information:	1). Unggul Purwohedi, SE., M.Si., Ph.D., CMA. ; 2). Dr. Etty Gurendrawati, M.Si., Ak.
Subjects:	Ilmu Sosial > Perdagangan, e-commerce > Akuntansi
Divisions:	FE > S2 Akuntansi
Depositing User:	Siti Mahmudah .
Date Deposited:	12 Aug 2026 03:43
Last Modified:	12 Aug 2026 03:43
URI:	http://repository.unj.ac.id/id/eprint/69231

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