ANALISIS PENGARUH ROA, EPS, NPM, DER DAN PBV TERHADAP RETURN SAHAM (Studi kasus pada industri Real Estate and Property yang terdaftar di Bursa Efek Indonesia periode 2007-2009)

Abstract

This study is performed in order to test the influence of Return On Asset (ROA), Earning Per Share (EPS), Net Profit Margin (NPM), Debt to Equity Ratio (DER) and Price to Book Value (PBV) of stock returns. Sampling technique used was purposive sampling with criteria as (1) Real estate industry Company and Property listed in Indonesia Stock Exchange during the observation period from 2007 to 2009 (2) Active transactions each month during 2007 to 2009, and (3) Present the financial statements for the study period 2007 to 2009. Data obtained by the publication of Indonesian Capital Market Directory (ICMD 2010) and the JSX Monthly. Obtained the sample of 20 companies. Analysis technique used is multiple regression by the least squares equations and hypothesis testing using the t-statistic for testing the partial regression coefficients and the f-statistic for testing the effect together with the level of significance of 5%. It also tested the classical assumptions that included normality test, multicollinearity test, heteroscedasticity test, and autocorrelation test. Based on the results of the study found no variables that deviate from the classical assumptions, this suggests that the available data has been qualified to use the model of multiple linear regression equation. From the results showed that the variable Debt to Equity Ratio (DER) and Price to Book Value (PBV) is partially significantly affect stock returns on the Stock Exchange real estate company in the 2007-2009 period of significance level of less than 5% (each for 2.3% and 2.0%). While simultaneously proved to significantly affect stock returns real estate and property companies on the Stock Exchange at the level of less than 5% (2.9%). The predictive capability of the five variables on stock returns of 17.9%. However the results of this study indicate that investors in the period 2007-2009 using the factors remain the company's fundamentals (PBV and DER) as a basis for predicting stock returns of Real estate and Property companies on the Stock Exchange.