Pengaruh return on equity, dividend yield, price earning ratio, earning per share, dan firm size terhadap stock return pada saham-saham lq45 periode 2014-2018

Shia, Gilang Caesar Yudhan (2020) Pengaruh return on equity, dividend yield, price earning ratio, earning per share, dan firm size terhadap stock return pada saham-saham lq45 periode 2014-2018. Masters thesis, Universitas Pelita Harapan.

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Abstract

Salah satu investasi yang bisa di jadikan alat investasi yaitu saham di pasar modal Indonesia. Dalam melakukan investasi di pasar modal perlu bagi investor untuk menganalisis perusahaan tersebut salah satu caranya adalah dengan analisis fundamental, agar investor mengerti prospek perusahaan kedepan. Salah satu index di pasar modal Indonesia yang bisa dijadikan acuan oleh investor ialah Index LQ45. Indeks LQ45 adalah Indeks yang mengukur kinerja harga dari 45 saham yang memiliki likuiditas tinggi dan kapitalisasi pasar besar serta didukung oleh fundamental perusahaan yang baik. Penelitian ini bertujuan untuk mengetahui bagaimana pengaruh Return on Equity, Dividend Yield, Price Earning Ratio, Earning per Share, dan Firm Size terhadap Stock Return pada saham-saham LQ45. Perusahaan yang menjadi sampel penelitian harus memenuhi beberapa kriteria sebagai berikut: Perusahaan non-perbankan yang terdaftar di BEI, Perusahaan non-perbankan yang aktif memperdagangkan sahamnya pada periode 2014-2018, Perusahaan yang mempunyai Net Income (NI) positif, Perusahaan yang mempunyai Dividend Yield tidak bernilai “0”, Perusahaan yang mempunyai nilai Stock Return dibawah +- 100%. Penelitian ini menggunakan metode kuantitatif dan pengolahan data menggunakan SPSS dengan data cross section. Hasil penelitian ini menunjukkan bahwa terdapat dua variabel yang di terima yaitu Price Earning Ratio berpengaruh negatif dan signifikan terhadap Stock Return dengan nilai standardized coefficients beta 0,215 dan nilai t sig 0,013 ; Firm Size berpengaruh positif dan signifikan terhadap Stock Return dengan nilai standardized coefficients beta -0,213 dan nilai t sig 0,006, Serta 3 variabel di tolak yaitu Return on Equity berpengaruh positif tetapi tidak signifikan terhadap Stock Return dengan nilai standardized coefficients beta 0,003 dan nilai t sig 0,969 ; Dividend Yield berpengaruh positif tetapi tidak signifikan terhadap Stock Return dengan nilai standardized coefficients beta 0,038 dan nilai t sig 0,626 ; Earning per Share berpengaruh positif tetapi tidak signifikan terhadap Stock Return dengan nilai standardized coefficients beta 0,003 dan nilai t sig 0,970. / One investment that can be used as an investment tool is shares in the Indonesian capital market. In investing in the capital market, it is necessary for investors to analyze the company, one of the ways is by fundamental analysis, so that investors understand the company's future prospects. One of the indices in the Indonesian capital market that investors can refer to is the LQ45 Index. The LQ45 Index is an index that measures the price performance of 45 stocks that have high liquidity and large market capitalization and are supported by good fundamental companies. This study aims to analyze the effect of Return on Equity, Dividend Yield, Price Earning Ratio, Earning per Share, and Firm Size on Stock Return on LQ45 stocks. Companies that are the research sample must meet the following criteria: Non-banking companies listed on the IDX, non-banking companies actively trading their shares in the 2014-2018 period, companies that have positive net income (NI), companies that have a dividend yield “0”, companies that have a Stock Return value below + - 100%. This study uses quantitative methods and data processing using SPSS with cross section data. The results showed that there are two variables accepted : Price Earning Ratio has a negative and significant effect on Stock Return with a standardized coefficients beta of 0.215 and a t sig value of 0.013; Firm Size has a positive and significant effect on Stock Return with a standardized coefficients beta value of -0.213 and a t sig value of 0.006, and 3 variables are rejected : Return on Equity has a positive but not significant effect on Stock Return with a standardized coefficients beta value of 0.003 and a t sig value of 0.969 ; Dividend Yield has a positive but not significant effect on Stock Return with a standardized coefficients beta value of 0.038 and a t sig value of 0.626; Earning per Share has a positive but insignificant effect on Stock Return with a standardized coefficients beta of 0.003 and a t sig value of 0.970.

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