PENGARUH VARIABEL FUNDAMENTAL DAN RISIKO SISTEMATIK TERHADAP HARGA SAHAM SEKTOR PERTANIAN

Abstract

The research aimed to examine the effect of fundamental variable and systematical risk on the shares prices
through financial statement which had been arranged by the agricultural companies which listed on Indonesia
Stock Exchange. While, the fundamental was measured by Earning per Share (EPS), Price to Earning Ratio
(PER), Price to Book Value (PBV), and then the systematical risk was measured by Beta. Moreover, this
research was quantitative. Furthermore, the sampling collection technique used purposive samping, in which the
criteria had been considered. In addition, there were six out of twenty one agricultural companies which were
listed on Indonesia Stock Exchange 2013-2017 as sample. The data analysis technique use multiple linear
regression with Statistical Program for Social Science (SPSS) version 20. Based on the result of classical
assumption test through normality test, heteroscedasticity test, multicolinearity test, and autoceration test
stated that all variables used in this research does not violate the specified requirements. While the feasibility test
model through F test and test coefficient of determination states the regression model used in this research
is proper to use. While, the research result concluded Earning Per Share (EPS) and Price to Earning Ratio
(PER) had positive and significant effect on shares price. On the other hand, Beta had negative and insignificant
effect on shares price.
Keywords: fundamental variable, systematical risk, shares prices.