ANALISIS PENGARUH DER, CR, ROE, DAN TAT TERHADAP RETURN SAHAM (Studi Pada Saham Indeks LQ45 Periode 2009 – 2011 Dan Investor Yang Terdaftar Pada Perusahaan Sekuritas Di Wilayah Semarang Periode 2012)

Abstract

This study aims to analyze influence of independent variables which consist of variables Debt to Equity Ratio (DER), Current Ratio (CR), Return On Equity (ROE), dan Total Asset Turnover to Stock Return. Selection of sample use purposive sampling technique. Purposive sampling technique is the technique of determining the sample with a certain consideration that adapted to the purpose or research problem developed. Data that used in this study are secondary data and primary data as proponent. So the sample that used in this study are 8 firms that included in LQ45 index for period 2009 to 2011 and 30 investors that listed on the company’s securities in Semarang. Data that used in this study is Quantitative data that get from quarterly financial report of firms that included in LQ45 index and data from spreading questionnaires. The data were analyzed by linear regression analysis and the hypothesis tested used t test and F test at level of significance 5%. The result of t test on secondary data shows that DER variable have positive significant influence to Stock Return, CR variable have positive but not significant influence to Stock Return,and ROE variable have negative significant influence to Stock Return,that three variables have different direction with the hypothesis. Based on the result of this count, only TAT variable that have same direction with the hypothesis which have positive significant influence to Stock Return. The result of t test on primary data also shows that only TAT variable have sama direction with the hypothesis. The result of F test on both data shows that simultaneously influence to Stock Return. Prediction capability from these four variables of secondary data toward Stock Return is 7,5%, where the balance 92,5% is affected to other factor which was not to be entered to research model. Whereas on primary data the prediction capability from these four variables toward Stock Return is 32,8%, where the balance 67,2% is affected to other factor which was not to be entered to research model. This result is expected that variables Debt to Equity Ratio (DER), Current Ratio (CR), Return On Equity (ROE), dan Total Asset Turnover can be used as a reference,either use by company management and investors in determining investment strategy