SIMANJUNTAK, JOSE RICARDO (2021) ANALISIS FAKTOR-FAKTOR FUNDAMENTAL PERUSAHAAN YANG MEMPENGARUHI RETURN SAHAM PERUSAHAAN (Studi Pada Perusahan Sub Sektor Jalan Tol, Pelabuhan, Bandara Dan Transportasi Yang Terdaftar Di Bursa Efek Indonesia 2013-2018). S2 thesis, Universitas Mercu Buana Jakarta.
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Abstract
This research aims to determine the effect of liquidity, profitability, capital structure, firm size, and earning per share on stock return. The population in this study were infrastructure, utilities and transportation sectors companies listed on the Indonesia Stock Exchange in the period 2013 to 2018. The sample was determined using purposive sampling technique. The data analysis method used is panel data regression analysis. The selected model is the Common Effect Model. The results showed that the liquidity, profitability, capital structure, firm size, and earning per share simultaneously affect stock return. Partially it is found that profitability and earning per share have a positive effect on stock return, capital structure have a negative effect on stock return, while liquidity and firm size has no effect on stock return. Keywords: Liquidity, profitability, capital structure, firm size, earning per share, stock return Penelitian ini bertujuan untuk mengetahui pengaruh likuiditas, profitabilitas, struktur modal, ukuran perusahaan dan laba per saham terhadap imbal hasil saham. Populasi dalam penelitian ini adalah perusahaan sektor infrastruktur, utilitas dan transportasi yang terdaftar di Bursa Efek Indonesia periode 2013 hingga 2018. Penentuan sampel menggunakan teknik purposive sampling. Metode analisis data yang digunakan adalah analisis regresi data panel. Model terpilih yaitu Common Effect Model. Hasil penelitian menunjukan bahwa likuiditas, profitabilitas, struktur modal, ukuran perusahaan, dan laba per saham secara simultan berpengaruh terhadap imbal hasil saham. Secara parsial diketahui bahwa profitabilitas dan laba per saham berpengaruh positif terhadap imbal hasil saham, struktur modal berpengaruh negatif terhadap imbal hasil saham, sedangkan likuiditas dan ukuran perusahaan tidak berpengaruh terhadap imbal hasil saham. Kata kunci: Likuiditas, profitabilitas, struktur modal, ukuran perusahaan dan laba per saham terhadap imbal hasil saham
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