ANALISIS PENGARUH EGR, MVA, RISIKO PASAR DAN LEVERAGE DALAM MENENTUKAN RETURN SAHAM TAHUN 2014 – 2018

Abstract

This study was conducted to analyze the effect of Earning Growth Ratio, Market Value Added, Market Risk and Leverage on corporate stock returns in the consumer goods sector. The data used are secondary data and the method used is panel data regression analysis with the help of the Eviews 11 program to obtain a comprehensive picture of the relationship between one variable and another variable. The sample in this study consisted of 32 companies in the consumer goods sector listed on the Indonesia Stock Exchange in the 2014-2018 period with purposive sampling as a sampling method. The results of this study are that the variable Earning Growth Ratio and Market Value Added have no significant effect on stock returns while for Market Risk and Leverage variables significantly influence stock returns. The results of the simultaneous regression analysis found that Market Risk and Leverage together affect stock returns. The predictive ability of the two variables on stock returns is 43.18% while the remaining 56.32% is influenced by other factors outside the regression model.