ANALISIS FAKTOR–FAKTOR YANG MEMPENGARUHI RETURN SAHAM PERUSAHAAN MANUFAKTUR YANG TERDAFTAR DI BURSA EFEK INDONESIA PERIODE 2012–2016

Abstract

The objective of the research was to examine Analysis Factors on Stock Return in Manufactured Companies Listed in Indonesia Stock Market in the period of 2012-2016. The research used causal research method. The population was 136 manufactured companies listed in Indonesia Stock Market in the period of 2012-2016, and 85 of them were used as the samples, taken by using purposive sampling technique. The data obtained were processed through multiple liniear regression analysis technique and residual test with least square equation and hypothesis testing using F – statistic test to simultaneously test the influence and t – statistic to partially test the regression coefficient at the level of significance of 5%. The result of this study showed that simultaneously the variables of current ratio, debt to equity ratio, return on asset, earning per share and firm size had influence on stock return. Partially, current ratio and debt to equity ratio had negative significant influence on stock return. Return on asset had positive and significant influence on stock return. The other variables such as earning per share had positive insignificant influence on stock return.