PENGARUH RISIKO SISTEMATIK DAN FAKTOR FUNDAMENTAL TERHADAP RETURN SAHAM

Abstract

This research is meant to find out the influence of systematic risk which is measured by using beta and fundamental factor which is proxy by debt to equity ratio, return on equity, earning per share, price earning ratio and price to book value to the stock return of property sector companies which are listed in Indonesia Stock Exchange. The population has been obtained by using purposive sampling method on property companies which are listed in Indonesia Stock Exchange in 2011-2015 periods and 5 property sector companies have been selected as samples. The data analysis technique has been carried out by using multiple linear regressions analysis. The result of the research shows that systematic risk has positive and insignificant influence to the stock return which is proven by the level of significance 0.761. Debt to equity ratio has negative and insignificant influence to the stock return which is proven by the level of significance 0.151. Return on equity has positive and insignificant influence to the stock return which is proven by the level of significance 0.788. Earning per share has positive and insignificant influence to the stock return which is proven by the level of significance 0.154. Price earning ratio has positive and insignificant influence to the stock return which is proven by the level of significance 0.926. Price to book value has positive and significant influence to the stock return which is proven by the level of significance 0.015. The result of determination coefficient is 0.587 shows that the ability of independent variables in explaining the dependent variable is 58.7%.
Keywords: systematic risk, fundamental factor and stock returns.