Absari, DyatriUtamiArina (2012) Analisis Pengaruh Faktor Fundamental Perusahaan dan Risiko Sistematis terhadap Return Saham (Studi pada Perusahaan Manufaktur yang Tercatat di BEI). Magister thesis, Universitas Brawijaya.
Abstract
Penelitian ini bertujuan untuk memberikan bukti empiris pengaruh faktor fundamental dan risiko sistematis yang berupa rasio keuangan yang di ukur dari likuiditas, Ukuran Perusahaan, debt equity ratio (DER), return on equity (ROE), earnings per share (EPS), price earnings ratio (PER) dan risiko sistematis terhadap return saham di Bursa Efek Indonesia. Obyek penelitian sebanyak 54 perusahaan manufaktur yang terdaftar di Bursa Efek Indonesia dengan periode penelitian antara tahun 2008 sampai tahun 2011. Metode analisis yang digunakan adalah regresi linier berganda. Hasil analisis menunjukkan bahwa dari beberapa faktor-faktor fundamental perusahaan seperti likuiditas, Ukuran Perusahaan, debt equity ratio , return on equity , earnings per share , price earnings ratio dan risiko sistematis secara simultan terdapat pengaruh yang signifikan terhadap return saham. Secara parsial menunjukkan hanya variabel earnings per share dan risiko sistematis dengan variasi yang dinyatakan dalam adjusted R 2 sebesar sebesar 7,8 % sedangkan sisanya sebesar 92,2 % dipengaruhi oleh variabel lain yang tidak dijelaskan oleh model penelitian ini. Sedangkan variabel lain yang tidak berpengaruh terdiri dari likuiditas, Ukuran Perusahaan, debt equity ratio , return on equity , price earnings ratio . Hasil penelitian menunjukkan bahwa diantara beberapa faktor fundamental perusahaan yang paling dominan mempengaruhi return saham pada perusahaan manufaktur yang terdaftar di Bursa Efek Indonesia adalah risiko sistematis.
English Abstract
This research aim to give 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, return on equity, earnings per share, price earnings ratio and systematic risk simultanly there are the influence significant to the profitability represented by rate of return. Partially show only earnings per share and systematic risk with explained by variation the expressed in adjusted R 2 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, return on equity and price earnings ratio. 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.
| Item Type: | Thesis (Magister) |
|---|---|
| Identification Number: | TES/332.632 2/ABS/a/041308971 |
| Subjects: | 300 Social sciences > 332 Financial economics > 332.6 Investment |
| Divisions: | S2/S3 > Magister Akuntansi, Fakultas Ekonomi dan Bisnis |
| Depositing User: | Endang Susworini |
| Date Deposited: | 27 Mar 2014 11:35 |
| Last Modified: | 27 Mar 2014 11:35 |
| URI: | http://repository.ub.ac.id/id/eprint/155752 |
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