PENGARUH FAKTOR FUNDAMENTAL DAN RISIKO SISTEMATIS TERHADAP RETURN SAHAM PERBANKAN DI BEI

Abstract

The purpose of this research is to test the influence of fundamental factor and systematic risk to the
banking stock return in IDX in 2012-2014periods. This research employs the fundamental factor and
the systematic riskof the company. The method has been done by using multiple regressions linear
analysis model. The hypothesis test has been done by using feasibility model test (F test), it has been
stated that it is suitable to measure the independent variables i.e.: Earning Per Share, Price Earning
Ratio, Return On Equity, Debt to Equity Ratio, Book to Market Ratio and Systematic Risk to the
dependent variable which is the stock return of banking industries. The result of the t test of earning
per share, return on equity, and book to market ratio have significant influence to the stock return.
Meanwhile, price earning ratio, debt to equity ratio and systematic risk do not have any significant
influence to the stock return. The coefficient determination (R
) is 0.690 in whichit shows that 69% of
stock return can be explained by Earning Per Share, Price Earning Ratio, Return On Equity, Debt to
Equity Ratio, Book to Market Ratio and Systematic Risk.

Keywords: Fundamental Factor, Systematic Risk, Return.