Manajemen S-1, Vol. 1 (2013) No. 1

Influence of Fundamental Factors Toward Stock Return The Case of Otomotive Companies in Indonesia

Rahayuni Marthia Putri

Abstract

This research performed in order to test influence of fundamental factor (Inflation EPS,ROE, DER, dan PBV ) toward stock return of otomotive companies that listed in Indonesia Stock Exchange for period 2006-2011. Sampling technique used in the research is purposive sampling with criteria as (1) listed in Indonesia Stock Exchange in 2006-2011. (2) always seem annual financial report over period 2006-2011. (3) always have gain. Data that needed in this research taken from Indonesian Capital Market Directory (ICMD) 2006-2011 was acquired 11 sample company. Data analysis with multiple regressions with ordinary least square (OLS) method. Hypotheses test used t-statistic and f-statistic at level significance 5%. The result of this research show Price to Book Value (PBV) have significant effect towards stock return. Inflasi, Earning per Share(EPS), Debt to Equity Ratio (DER), Return on Equity (ROE) don’t have significance effect toward stock return. Result of this research indicate that fundamental factor performance Price to Book Value PBV) used by investor to predict stock return of otomotive company that listed in Indonesia Stock Exchange at period 2006-2011.

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