ANALISIS FAKTOR-FAKTOR YANG MEMPENGARUHI RETURN SAHAM DENGAN RISIKO SISTEMATIK SEBAGAI VARIABEL INTERVENING

Abstract

This study aims to examine and analyze the influence of the factors that affect stock returns with systematic risk as an intervening variable in manufacturing companies listed in Indonesia Stock Exchange 2011-2013. The population in this study are all companies manufacturing sector listed on the Stock Exchange during 2011-2013. Sampling was done by using purposive sampling method so that in this study the total sample of 210 companies with 2011-2013. Classic assumption test including normality test, multicollinearity test, autocorrelation and heteroscedasticity test. Analysis of the data used by using path analysis and Sobel test with SPSS. The study found that only DER significant negative effect on systematic risk. Variable CR, ROA, and TATO has no significant effect on systematic risk. Only ROA which has significant influence on stock returns while variable CR, DER and TATO no significant effect on stock returns. Systematic risk no significant effect on stock returns. Fundamental factors that include CR, ROA, DER and TATO has no significant effect on stock returns through the mediation of systematic risk.