A Fundamental Analysis of Indonesian Stock Returns (Empirical Study on firms listed in Indonesian Stock Exchange in 2011-2015)

SHOFI DELAILA HERDI, I Wayan Nuka Lantara, M.Si., Ph.D.

2016 | Skripsi | S1 MANAJEMEN

Penelitian ini bertujuan untuk menentukan faktor-faktor yang mempengaruhi return saham. Penelitian ini menggunakan sampel 64 perusahaan yang terdaftar di Bursa Efek Indonesia (BEI) pada tahun 2011-2015. Faktor dasar yang diamati pada penilitian ini adalah risiko (BETA), earnings-price ratio, debt to equity ratio, sales-price ratio, dan book to market of equity ratio. Hasilnya menunjukkan bahwa ada 3 variabel yang terbukti berpengaruh signifikan terhadap return saham. BETA dan earnings-price ratio berpengaruh positif terhadap return saham. Sedangkan book to market of equity ratio berpengaruh negatif terhadap return saham. Terakhir, terdapat indikasi bahwa variable yang paling kuat mempengaruhi return saham adalah book to market of equity ratio.

This study aims to determine fundamental factors that influence stock returns in Indonesia. This study uses a sample of 64 firms that are listed in Indonesian Stock Exchange in year 2011 to 2015. Fundamental factors that are observed in this study are systematic risk, earnings-price ratio, debt to equity ratio, sales-price ratio, firm size, and book to market of equity ratio. The result shows that there are only 3 out of 6 fundamental variables that significantly related with stock returns. Systematic risk (BETA) and earnings-price ratio have positive significant relation with stock return, while book to market of equity ratio has negative significant relation with stock return. Finally, the results show that the strongest variable that influence stock returns is book to market of equity ratio.

Kata Kunci : fundamental analysis, stock return, price earnings ratio, debt to equity ratio, book to market ratio, risk-return relationship