PENGARUH FAKTOR FUNDAMENTAL TERHADAP RETURN SAHAM (STUDI KASUS PADA INDUSTRI OTOMOTIF DAN KOMPONENNYA DI BURSA EFEK INDONESIA UNTUK PERIODE 2002-2010)

SARI, EVI RATNA (2012) PENGARUH FAKTOR FUNDAMENTAL TERHADAP RETURN SAHAM (STUDI KASUS PADA INDUSTRI OTOMOTIF DAN KOMPONENNYA DI BURSA EFEK INDONESIA UNTUK PERIODE 2002-2010). S2 thesis, Universitas Mercu Buana Jakarta-Menteng.

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Abstract

T his research aim s t o reveal the influence of fundam ental factors th a t affect th e a u to m o tiv e a n d c o m p o n e n ts o f stock returns. V ariables used in this research that C urrent R atio ( C R ) , D ebt to E quity R atio ( D E R ), R eturn on E quity ( R O E ), E arnings Per Share ( E P S ), P rice P er B ook V alue ( PBV ) , In v e n to ry T u rn o v e r (IT R ), and E xchange R ates (K U R S) . T he data in this resea rch is com pan ies entered in the Indonesian Stock Exchange (B E I) years 200 2 - 2 0 10, and m eet s a m p le s for 1 7 com panies . T e c h n iq u e u s e d to e stim a te th e m o d e l is p a n el d a ta r e g re s s io n w ith th e fix e d effe ct m ethod - c r o s s s e c tio n w e ig h t. D a ta is p r o ce s s e d w ith E v ie w s 6 .0 T h e r e s u lts o f th e re se a rc h , to g e th er w ith all in d e pe n d e n t v a ria b les h a v e in flu e nc e o n th e s to c k r etu r n . P a r tia lly , th e r e a r e s o m e in flu e n c e s o f C urrent R atio ( C R ) , D ebt to E quity R atio ( D E R ), R eturn on E quity ( R O E ), P rice P er B ook V alue ( PBV ) , a n d E xchange R ates (K U R S ) to sto ck re turn . P ric e P e r B o o k V a lu e ( PBV ) has the biggest influence betw een all independent variables to stock return. K eyw ords : C urrent R atio ( C R ) , D ebt to E quity R atio ( D E R ), R eturn on E quity ( R O E ), E arnings Per Share ( E P S ), P rice P er B ook V alue ( PBV ) , In v e n to ry T u rn o v e r (IT R ), E xchange R ates (K U R S) , Stock R eturn P e n e litia n in i b ertuju a n u n tu k m e n g u n g k a p ka n pengaruh fa k tor fundam ental terhadap return sa h a m in d u stri o tom o tif d a n k o m p o n e n n y a . V a r i a b e l independen y a n g dig u n a k a n d ala m p e ne litia n ini y a itu C urrent R atio (C R ) , D ebt t o E quity R atio ( D E R ), R eturn on E quity ( R O E ), E arnings Per Share ( E P S ), P rice P er B ook V alue ( PBV ) , In v e n to ry T u rn o v e r (IT R ) , dan N ila i T u k ar (K U R S) . D ata p e n e litia n ini a d ala h perusahaan yang m asuk dalam B ursa E fek In d o n e sia (B E I) tahun 200 2 - 2010 dengan sam pel sebanyak 1 7 p e ru sa ha a n . T ehnik u n tu k m e n g e s tim as i m o d el a d a la h re gre s i d ata p a n e l d e n g a n m eto d e fixe d e ffe ct w ith cro ss sectio n w eig h t . P e n g ola h a n d ata dila k u k a n d e n g a n m e nggunakan E v ie w s 6 .0 . H a s il d ari p e n e litia n in i a d a la h b a h w a se c a ra b e rsa m a - sam a sem ua v a ria b le in d e p e n d e n m e m ilk i p e n g aru h te rh a da p return s a h am . S e c a ra p ars ial terdapat pengaruh C urrent R atio ( C R ) , D ebt to E quity R atio ( D E R ), R eturn on E quity ( R O E ), P rice P er B ook V alue ( P B V ), dan N ilai T ukar (K U R S) terhadap return saham . P rice P er B ook V alue ( PBV) m e m iliki n ilai p e n g a ru h p a lin g b e sar d i a n ta ra v a ria b le in d e p e n d e n y a n g sig n ifik a n te rh a d a p re turn s a h am . K ata K unci: C urrent R atio ( C R ) , D ebt to E quity R atio ( D E R ), R eturn on E quity ( R O E ), E arnings Per Share ( E P S ), P rice P er B ook V alue ( PBV ) , In v e n to ry Turnover (ITR ) , N ila i T u k ar (K U R S), R eturn Saham

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