ANALISIS PENGARUH FAKTOR FUNDAMENTAL TERHADAP RETURN SAHAM PADA PERUSAHAAN PROPERTI DAN REAL ESTATE DI BURSA EFEK INDONESIA

Abstract

Abstrak

Penelitian ini bertujuan untuk mengetahui pengaruh faktor fundamental yaitu Earnings Per Share (EPS), Debt to Equity Ratio (DER), Net Profit Margin (NPM), dan Price to Book Value (PBV) terhadap return saham di Bursa Efek Indonesia periode tahun 2012-2014. Desain penelitian ini adalah studi kausalitas. Populasi penelitian ini menggunakan perusahaan properti dan real estate yang sudah dan masih terdaftar di Bursa Efek Indonesia periode 2012-2014. Teknik pengambilan sampel dengan purposive sampling dan diperoleh sampel sebanyak 30 perusahaan. Metode pengumpulan data menggunakan teknik dokumentasi. Data penelitian dianalisis menggunakan regresi linier berganda. Berdasarkan hasil analisis data dengan menggunakan uji parsial (uji-t) variabel Earnings Per Share tidak berpengaruh terhadap return saham. Debt to Equity Ratio berpengaruh negatif terhadap return saham dengan koefisien regresi. Net Profit Margin tidak berpengaruh terhadap return saham dengan koefisien regresi. Price to Book Value tidak berpengaruh terhadap return saham. Kemampuan Variabel independen dalam menjelaskan variasi variabel dependen adalah sebesar 16,5% sisanya sebesar 83,5% dijelaskan oleh variabel lain diluar model.

Kata Kunci: Return Saham, Earnings Per Share, Debt to Equity Ratio, Net Profit Margin, Price to Book Value

Abstract

This study aimed to find out the effects of fundamental factors, namely Earnings Per Share (EPS), Debt to Equity Ratio (DER), Net Profit Margin (NPM), and Price to Book Value (PBV), on the stock return in Indonesia Stock Exchange in the period 2012-2014. The research design was a causality study.  The research population comprised property and real estate companies that had been and were still listed in Indonesia Stock Exchange in the period 2012-2014. The sample was selected by means of the purposive sampling technique and the sample consisted of 30 companies. The data were collected using the documentation technique. The research data were analyzed using the multiple linear regression method. Based on the results of the data analysis using a partial test (t-test), the variable of Earnings Per Share did not affect the stock return. Debt to Equity Ratio had a negative effect on the stock return. Net Profit Margin did not affect the stock return. Price to Book Value did not affect the stock return. The capability of the independent variables to account for the variance of the dependent variable was 16.5% and the remaining 83.5% was explained by other variables outside the model.

Keywords: Stock Return, Earnings Per Share, Debt to Equity Ratio, Net Profit Margin, and Price to Book Value