PENGARUH KOMPONEN INFORMASI ARUS KAS, LABA KOTOR, UKURAN (SIZE) DAN AKTIVITAS PERDAGANGAN SAHAM TERHADAP EXPECTED RETURN (Studi Empiris Pada Perusahaan Manufaktur Yang Terdaftar di Bursa Efek Indonesia Periode 2008-2010)

Abstract

Capital market is one way to improve the long-term economic resources and as one of investment instruments. The development of capital markets as an instrument in the current economy show strong growth. Therefore, investors in investing always expecting return. Expectations consistent with the objectives of investors to invest, which is to maximize the expected return. This research aims to analyze the influence of operating cash flow, investing cash flow, financing cash flow, gross profit, company size, and trading volume activity towards expected return in manufacturing companies in 2008-2010. Sampling technique used is purposive sampling by using some criteria. From those criteria, there are found 56 manufacturing companies which have to be analyzed, thus, there are 168 analyzed data. Analytical techniques used are t-test and multiple regressions. During the analysis of this research shows that the data in this study are normally distributed. Based on multicolinierity test, heteroscedasticity test, and autocorrelation test, there is no deviation variable from assumptions classical test. It means that the data which are used in this study fulfill the requirements of using multilinier model. From the analysis, it will be found that ivesting cash flow, gross profit and trading volume activity influence significantly towards expected return. Whereas, operating cash flow, financing cash flow and company size influence insignificantly towards expected return.