PENGARUH INTELLECTUAL CAPITAL PADA ABNORMAL RETURN SAHAM YANG DIINTERVENING OLEH KINERJA KEUANGAN

Abstract

STRACT This study was conducted to determine the indirect effect of intellectual capital on the abnormal return diintervening by financial performance. This study took a sample of the Indonesia Stock Exchange (IDX) who specializes in insurance companies from 2007 to 2011. Intellectual capital is measured by VAICTM developed by Pulic (1999) is the dependent variable in this study. Financial performance devoted to the insurance company is proxied by the Early Warning System (EWS) which is made by Incurance Regulatory Information System (IRIS) is an intervening variable in this study. Abnormal return is measured by the market adjusted model is the independent variable. This study uses path analysis to examine the relationship of intellectual capital is not directly variable with abnormal returns of insurance companies. Previous factor analysis was used to determine which one can represent the ratio of financial performance. Results of factor analysis showed that the retention ratio which represents the insurance company’s financial performance. Results of path analysis explained that the financial performance variables are proxied by the ratio of retention alone can significantly mediate the relationship between intellectual capital with the abnormal return. This indicates that investors use fundamental analysis on a company’s financial statements in making investment decisions in addition to using technical analysis that the movement of the stock price chart.