PENGARUH FAKTOR FUNDAMENTAL DAN RISIKO SISTEMATIS TERHADAP HARGA SAHAM

Abstract

This research aims to determine the influence of fundamental factors measured by Return On Equity (ROE), Earning Per Share (EPS), Debt to Equity Ratio (DER), Price Earning Ratio (PER), and Price to Book Value (PBV) and Risk Systematic as measured by stock beta against the stock price. The sample selection technique that been used purposive sampling method and obtained 7 construction companies which is listed in Indonesia Stock Exchange 2012-2016. The analysis technique that used multiple linear regression analysis. The results showed that Return on equity (ROE) has a negative and significant influence on stock prices, Earning per share (EPS) has a positive and significant influence on stock prices, Debt to equity ratio (DER) has a positive and insignificant influence on the stock prices, Price earning ratio (PER) has a negative and insignificant influence on the stock prices, Price to book value (PBV) has a positive and significant influence on stock prices, Systematic risk has a negative and not significant influence on the stock prices. The result of determination coefficient of 0.879 shows that the ability of independent variable in explaining the dependent variable is 87,9% and the rest equal to 12,1% explained by other variable outside research model.
Keywords: fundamental factors, systematic risk, and stock price