ANALYSIS OF THE INFLUENCE OF MACROECONOMIC AND FUNDAMENTAL FACTORS TOWARD BETA OF CONSUMER GOODS COMPANY LISTED IN INDONESIA STOCK EXCHANGE (IDX)

Abstract

Every investor is expecting high return of the investment. It takes many considerations in making investment decision because of the uncertain future conditions called risk. This research aim to identify and gives the empirical proven of significant influence of macroeconomic and fundamental variables towards beta of consumer goods companies listed in Indonesia Stock Exchange during period of 2012-2016. This research used quantitative research using multiple regression analysis. Through purposive sampling, this research got 80 observations from 16 companies in five years which fulfill the criteria. Based on the result, it is concluded that inflation, interest rate, current ratio, and return on equity have significant influences towards beta. On the other hand, assets growth and debt to equity ratio have no significant influence towards beta. Simultaneously, those six variables have 19.41% influences to the dependent variable, while the rest 80.59% is explained by other factors outside this research. It can also be concluded that macroeconomic factors and fundamental variables influence beta of stock. The result of this research can provide input to investors and companies in analyzing stock risk before making investment and operational decision.