Analisis Pengaruh Faktor Fundamental Perusahaan Dan Risiko Sistematis Terhadap Return Saham

Abstract

<p>This research aim to know influance of fundamental factors as financial ratio with proxy liquidity, asset size, debt equity ratio (DER), return on equity (ROE), earnings per share (EPS), price earnings ratio (PER) and systematic risk to the rate of return in Indonesian Stock Exchange. Manufacturing company as sample the taken amount to 54 emiten the listed in Indonesia Stock Exchange with period of research between of 2008 up to year of 2011. Analysis method the used is multiple linear regression. Analysis results indicate that from some element fundamental factor be like liquidity, asset size, debt equity ratio (DER), return on equity (ROE), earnings per share (EPS), price earnings ratio (PER) and systematic risk simultanly there are the influence significant to the profitability represented by rate of return. Partially show only earnings per share (EPS) and systematic risk with explained by variation the expressed in adjusted R<sup>2</sup> equal to 7,8 % is while the rest equal to 92,2 % influenced by other variable which is not explained by this research model. Where as other variable not influence with models is liquidity, asset size, debt equity ratio (DER), return on equity (ROE) and price earnings ratio (PER). Research result pursuant to hypothesis test indicate that between some element fundamental factors is most dominant influence the rate of return at the manufacturing company of listed in Indonesia Stock Exchange is systematic risk.</p> <p> </p><br />

Can the market affect non-government banking returns during COVID-19 pandemic?

“…Estimation of stock beta shows that BNGA has a higher risk than MEGA so that BNGA shares tend to obtain more optimal profits or vice versa experience significant losses. Based on the analysis results obtained, this study is consistent with the findings from Absari et al (2012), Effendi et al (2017), Sartika and Aktarina (2020), and Nofitasari and Adi (2020) that there is positive relationship between risk and return.…”

“…Systematic risk is a reflection of various factors that cannot be controlled and not only from macroeconomic factors, such as interest rates and currency exchange rates (Indrawan & Raymond, 2019). Empirically, Absari et al (2012) prove that partially systematic risk has a significant effect on stock returns. Effendi et al (2017) find that systematic risk and unsystematic risk partially greatly affect stock returns in the capital market.…”

Affecting Factors Stock Price: Earnings Per Share as Moderating Variable

“…Changes in the debt-equity ratio, thus, impact investors' perceptions of the company's capacity to provide optimum returns and the share price, which in turn influences demand for the company's shares. This finding is in line with previous research, Estuari (2010), Absari et al (2013) and Komala et al (2013) in Indonesia. The findings of this investigation vary from Nguyen & Schubler (2013) in UK.…”