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.
