Tuesday, May 3, 2011
Beta of Equity Analysis- Aneka Tambang Company
- ANTM's Company Profile
Antam is an export oriented company that runs business in mining and metal sector. The company undertakes activities, started from exploration, excavation, processing until marketing of nickel ore, ferronickel, gold, silver, bauxite, and iron sands. The commodity prices plays important role in Antam’s performance. The operation spreads in mineral- rich Indonesian archipelago.
The company went to public when it conducted initial public offering (IPO) and listed its shares on the Jakarta and Surbaya Stock Exchange. The government sold 35 % of the shares to public in order to raise the fund for ferronickel expansion. Then, Antam also listed its shares in Australia as a foreign exempt entity and augmented its status to the more stringent ASX Listing in 2002.
Beta of Equity
Beta is the sensitivity of the stock return relative to the return of the market portfolio. In another words, Beta is used to measure the change in stock return when there is a change in the market return.
According to the IHSG index, the Beta was 1.58912. The Beta of Aneka Tambang was 1.35387 calculated using LQ45. That means if the market return is increased by 1% then stock return would increase by 1.589 % for IHSG, and for the LQ45 the increase of 1% of market return would increase stock return of the company by 1.35 %.
Regression of Ri and Rm IHSG
Y =-0.000905527 + 1.58912 Rm + u
Regression of Ri and Rm LQ45
Y= -0.000567648 + 1.35387 Rm + u
In average, the Beta of Aneka Tambang is more than 1. Hence, the beta is classified as aggressive stock. It means that stock return in Aneka Tambang Company amplify any market movements. This is the right place for people who are daring to take the risk by investing all of the money in this company. But, the wise investor wouldn’t put all the eggs in one basket.
- Hypothesis Testing of Regression (T-Test)
From the result of regression analysis above, we can make hypothesis to find out whether the formula is accepted or not.
The steps of making hypothesis are below:
1. Testing of IHSG and ANTM data
a. Hypothesis
H0: β = 0
Ha: β ≠ 0
b. Determination of α
α=5%, t0,05;df=n-k=782=1.963
c. Formula th= β/sβ
d. The criteria of testing
If th>1.963 atauth<-1.963, Ho will be rejected.
If -1.963≤th≤1.963, Ho will be accepted.
e. Conclusion
Because th= 28.9707 > 1.963, Ho is rejected. It means the value of β is significant.
2. Testing of LQ45 and ANTM data
a. Hypothesis
H0: β = 0
Ha: β ≠ 0
b. Determination of α
α=5%, t0,05;df=n-k=782=1.963
c. Formula th= β/s β
d. The criteria of testing
If th>1.963 atauth<-1.963, Ho will be rejected.
If -1.963≤th≤1.963, Ho will be accepted.
e. Conclusion
Because th= 28.9986 > 1.963, Ho is rejected. It means the value of β is significant.
The general conclusion is both value of Beta is significant. Hence, the formula above is valid and accepted.
- Daily stock and market return analysis
On 9 November in which the president united states, Barack Obama, scheduled tocome on that day. President visits the United States are giving a positive response to the market. There is enhancement in LQ45 7.780 points to 690.588, this increase of 1.14 percent from the previous day.
On october 28, IHSG shares and LQ45 index dropped to its lowest point. This is caused by the global financial crisis and also by the case of default shares bakrie group. IHSG is the lowest point is at the level of 1,111,390. In early 2008 energy crisis and rising world oil prices which then lead to increase in inflation is quite high. Entering the third quarter of 2008, there was a global crisis that started from America. This crisis affects the entire world. This crisis makes the world's troubled economy, declining commodity prices, consequently reducing world production. With the disruption of the world economy would also have an impact on the Indonesian economy.
On 9 December 2010 IHSG made new record. Jakarta Composite Index raises 16.104 points (0.42%) to the level of 3786.097. Also, there is enhancement in the areas of finance and industry. Strengthening could not be separated from the influence of local sentiment, including related sectors in the United States who continue to experience strengthening.
Standard Deviation Analysis
Standard deviation rate is the risk rate that burdens the investor when making investments. The standard deviation rate could means either positive or negative, depends on its value.
1. IHSG
IHSG’s average rate value is 0.000546384 %and the standard deviation rate of IHSG is 0.018176066 %. It means that the returns range are more likely between 0.000546384% ±0.018176066 %. The company has possibility whether face loss at –(0.000546384 % - 0.018176066 %) or generate profit at (0.000546384 % + 0.018176066%)
2. LQ45
The average rate value of LQ 45 is 0.000355599 %, while the standard deviation rate is 0.021350339%.It means that the returns range are more likely between 0.000355599% ±0.021350339%.. The company has possibility whether face loss at –(0.000355599 % - 0.021350339%) or generate profit at (0.000355599 % + 0.021350339%)
The average value of Aneka Tambang calculated from January 2nd 2008 until March 31st 2011 is -3.72569E-05% and the standard deviation is 0.040120038 %. The value of standard deviation shows us that most of rate value distribution is 0.040120038 higher or lower than the average value. As the value of average rate is negative, it means that the investment gives negative return compared to the previous day closing stock price.
Conclusion
Aneka Tambang Company performs not so well. We can see it from the result of average rate return, which is -3.72569E-05%, compared to positive result of both IHSG and LQ45. The closing price of company’s stock is more often to fall rather than increase.
With relatively higher risk compared to IHSG and LQ 45 (from data of standard deviation), we can conclude that Aneka Tambang Company’s stock is proper to investors who will invest their money with higher risk to get higher return.
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