PENGARUH KINERJA KEUANGAN TERHADAP RETURN SAHAM (STUDI PADA PERUSAHAAN CONSUMER GOODS YANG TERDAFTAR DI BURSA EFEK INDONESIA)

WIDIASTUTI, SRI (2010) PENGARUH KINERJA KEUANGAN TERHADAP RETURN SAHAM (STUDI PADA PERUSAHAAN CONSUMER GOODS YANG TERDAFTAR DI BURSA EFEK INDONESIA). S2 thesis, Universitas Mercu Buana Jakarta-Menteng.

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Abstract

The aim of the research is to analyzed the impact of the 10 financial ratios ( Current Ratio (CR), Leverage Ratio (LR), Gross Profit Margin (GPM), Operating Profit Margin (OPM), Inventory Turn Over (ITO), Total Assets Turn Over (TATO), Return on Investment (ROI), Return on Equity (ROE), Price Earning Ratio (PER) dan Price Book Value (PBV) ) to stock return of consumer goods company which is listed in Indonesian Stock Exchange, either partially and simultaneously. The object of this research is all of the consumer goods company enlisted in Indonesian Stock Exchange (ISX) since 2006 – 2008. This research use a purposive sampling with prescribed criteria is publish the financial statement and have a list of stock price during observation year. The sampel has taken to observated by 26 consumer goods company. The result of this research give that simultaneously financial ratios (CR, LR, GPM, OPM, ITO, TATO, ROI, ROE, PER dan PBV) have the significant influence to the stock return. And partially, ROI and ROE have the significant influence to the stock return, which ROI have negative influence to stock return and ROE have positif influence to srock return. This research explain that profitability ratio have dominant influence to the stock return. Keywords : Financial Ratio, Stock Return, Consumer Goods Company.Tujuan penelitian ini adalah untuk menganalisis pengaruh kinerja keuangan yang terdiri dari 10 rasio keuangan ( Current Ratio (CR), Leverage Ratio (LR), Gross Profit Margin (GPM), Operating Profit Margin (OPM), Inventory Turn Over (ITO), Total Assets Turn Over (TATO), Return on Investment (ROI), Return on Equity (ROE), Price Earning Ratio (PER) dan Price Book Value (PBV) ) terhadap return saham perusahaan consumer goods yang terdaftar di Bursa Efek Indonesia, baik secara parsial maupun simultan/serentak. Populasi penelitian ini adalah perusahaan consumer goods yang terdaftar di Bursa Efek Indonesia (BEI) sejak tahun 2006 sampai dengan 2008. Tehnik pengambilan sampel dengan cara purposive sampling, yaitu menggunakan kriteria perusahaan aktif menerbitkan laporan keuangan dan mempunyai data harga saham selama periode pengamatan. Pada akhirnya diperoleh 26 perusahaan consumer goods sebagai sampel dalam penelitian ini. Hasil penelitian ini memberikan kesimpulan bahwa secara simultan rasio keuangan (CR, LR, GPM, OPM, ITO, TATO, ROI, ROE, PER dan PBV) berpengaruh terhadap return saham. Secara parsial, rasio yang mempunyai pengaruh signifikan terhadap return saham adalah ROI dan ROE, dimana ROI berpengaruh negatif terhadap return saham, sedangkan ROE berpengaruh positif terhadap return saham. Dari penelitian ini dapat disimpulkan bahwa rasio yang berpengaruh paling dominan terhadap return saham adalah rasio profitabilitas. Kata-kata Kunci : Rasio Keuangan, Return Saham, Perusahaan Consumer Goods.

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