Simanjuntak, Andreas (2014) PENGARUH PROFITABILITAS, UKURAN PERUSAHAAN DAN SIKLUS BISNIS TERHADAP RETURN SAHAM PERUSAHAAN YANG TERDAFTAR DI BURSA EFEK INDONESIA. Other thesis, UPN ''VETERAN'' YOGYAKARTA.
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Abstract
This research was made to determine the effect of Profitability, Firm Size and
Business cycle toward Stock Return to collect the considerations used by investor in
picking stock and its effect toward Stock Return.
This Research used the data from the listed company in BEI in year 2007-
2011. Purposive sampling is used based on three categories : (1) Llisted company in
BEI in year 2007-2011 and its financial report. (2)The company which has no
negative equity or negative retained earnings (3) Consistency in paying dividend
along the period of observation. Data was taken from ICMD (Indonesia Capital
Market Directory) and collected 35 of samples. The analysis used is multiple
regression with hypothesis test using t test to determine the effect of variabels
partially and F test to determine th effect of variabels simultaneously with significance
level 5 %. Classic assumption examination used Normality Test, Multicolliniarity Test,
Heterokedasticity Test and Autocorrelation Test.
The result showed that simultaneously independent variables significantly
affected toward Stock Return. Partially, Return on Equity was the only variable which
had significant effect toward Stock Return. Meanwhile Market Capitalitation (MCap)
and Business Cycle (RETE) were not significantly affected toward Stock Return.
Keywords : Stock Return, Profitability, Firmsize and Business Cycle
Penelitian ini menganalisis pengaruh Profitabilitas, Ukuran Perusahaan dan
Siklus Bisnis terhadap Return Saham untuk mengetahui pertimbangan-pertimbangan
yang digunakan investor dalam memilih suatu saham serta pengaruh yang ditimbulkan
terhadap Return Saham.
Penelitian menggunakan data perusahaan-perusahaan yang terdaftar di BEI
tahun 2007-2011. Teknik sampling yang digunakan yakni purposive sampling dengan
kriteria : (1) Perusahaan yang terdaftar di BEI selama periode pengamatan 2007-2011
dan melaporkan laporan keuangan dan kelengkapannya selama periode pengamatan
(2) Perusahaan yang tidak memiliki laba ditahan negatif atau ekuitas negatif (3)
Perusahaan yang konsisten membagikan dividen selama periode pengamatan. Data
bersumber dari ICMD (Indonesia Capital Market Directory) dan diperoleh jumlah
sampel sebanyak 35 perusahaan. Teknik analisis yang digunakan adalah regresi
berganda dengan uji hipotesis menggunakan Uji t untuk menguji pengaruh variabel
secara parsial dan Uji F untuk menguji variabel secara bersama-sama dengan
signifikansi 5 %. Selain itu uji asumsi klasik meliputi Uji Normalitas, Uji
Multikoliniaritas, Uji Heterokedastisitas dan Uji Autokorelasi.
Hasil penelitian menunjukkan bahwa secara simultan variabel independen
berpengaruh signifikan terhadap Return Saham. Secara parsial, hanya variabel Return
on Equity (ROE) yang berpengaruh signifikan terhadap Return Saham. Sementara
variabel Market Capital (MCap) dan Retained Earnings to Total Equity (RETE) tidak
berpengaruh signifikan terhadap Return Saham.
Kata Kunci : Return Saham, Profitabilitas, Ukuran Perusahaan dan Siklus Bisnis.
| Item Type: | Thesis (Other) |
|---|---|
| Subjek: | H Social Sciences > HJ Public Finance |
| Divisions: | x. Faculty of Law, Arts and Social Sciences > School of Social Sciences |
| Depositing User: | Erny Azyanti |
| Date Deposited: | 28 Jun 2016 01:16 |
| Last Modified: | 28 Jun 2016 01:16 |
| URI: | http://eprints.upnyk.ac.id/id/eprint/4527 |
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