ANALISIS FAKTOR-FAKTOR YANG MEMPENGARUHI RETURN SAHAM PADA PERUSAHAAN MANUFAKTUR YANG TERDAFTAR DI BURSA EFEK INDONESIA

The study, entitled Analysis of Fundamental Factors Influence on Stock Return of Registered Manufacturing Company in Indonesia Stock Exchange, aims to investigate the influence Return On Asset (ROA), Price Earning Ratio (PER), Dividen Per Share (DPS), Financial Leverage (FL), Inventory Turn Over (ITO), Price Book Value (PBV) to return stock companies listed in Indonesia Stock Exchange in 2005- 2008. The data used is the type of secondary data. Variable ROA, PER, DPS, FL, ITO, and PBV obtained from financial statements ended December 31, which is taken from the Indonesian Capital Market Directory (ICMD) in the form of annual data from 2005- 2008. Stock Return Variables obtained from the annual share price of each issuer or the closing price from 2004 through December 2008. The sampling technique used was purposive sampling with the criteria listed on the Stock Exchange during the period of research and manufacturing companies, available financial report for the period of observation, always makes a profit and has no negative equity, and included in the class of shares are actively traded in IDX. Data taken from ICMD year 2006-2009 the number of samples obtained by 143 companies. The data analysis technique in this study using multiple linear regression analysis. Hypothesis test includes t test, F test, coefficient of determination, as well as classical assumption that a test of normality, multicollinearity, autocorrelation and heteroscedasticity. Based on the results of the study simultaneously the independent variables (ROA, NPM, DER and PBV) significantly affects the dependent variable is stock return with the significance F value of 0.034. Variables only partially Financial Leverage (FL) and Price to Book Value (PBV), which significantly influence stock returns in BEI manufactures 2005-2008 because the significance is less than 5% that is a row of 0.025 and 0.015. Meanwhile, Return On Asset (ROA), Price Earning Ratio (PER), Dividen Per Share (DPS) and Inventory Turn Over (ITO), had no significant effect on stock return. Predictive ability of the four variables seen from Adjusted R square value of 0.059 or 5.9%; mean stock return variation can be explained variation ROA,PER,DPS,FL,ITO and PBV of 5.9%, remaining at 94.1% explained by other factors beyond model. Keywords : stock return, Return On Asset (ROA), Price Earning Ratio (PER), Dividen Per Share (DPS), Financial Leverage (FL), , Inventory Turn Over (ITO), Price Book Value (PBV)