THE EFFECT OF FUNDAMENTAL FACTOR TOWARD STOCK RETURN IN KOMPAS 100 INDEX COMPANIES DURING PERIOD 2010-2013

Abstract

The objectives of this research are to investigate the effect of fundamental factor of Net Profit Margin, Price to Book Value, Current Ratio and Earning Per Share toward Stock Return in Kompas 100 Index Companies during period 2010 to 2013. This research is using panel data from Kompas 100 Index Companies financial report from 2010 - 2013. Analysis technique which is used is multiple linear regression analysis and this research is using several tests which are hypothesis testing and classical assumption testing. Hypothesis testing is used to test the partial influence and F test to test the simultaneous influence in level of significance 5%. Another test in this research is a classical assumption test, including normality test, multicolinierity test, heteroscedastisity test and autocorrelation test. During the research period, it shows that the research data was normally distributed. According to multicolinierity test, heteroscedasticity test and autocorrelation test, there is no deviation of classical assumption in the research data, thus it indicates that the data have fulfilled the condition to use multiple linear regression model. The result of F test in this research shows the significant simultaneous influence of NPM, PBV, CR and EPS toward Stock Return in Kompas 100 Index Companies. While the research of t test shows PBV and EPS partially have significant influence toward Stock Return, while NPM and CR have not significant influence toward Stock Return. PBV has dominant influence toward Stock Return among the independent variables with coefficient 0.001. This research recommends that investor chooses Kompas 100 Index Companies as a place for investment should be concerned with factors that influence Stock Return to prevent the wrong decision to get a return.