PENGARUH ANALISIS FAKTOR FUNDAMENTAL TERHADAP RETURN SAHAM: Studi Empiris Pada Kelompok Industri Barang Konsumsi dan Keuangan yang Terdaftar di BEI Periode 2002-2009

The crisis that occurred in 2008 greatly affected the performance of companies registered in Indonesian Stock Exchange, it was seen from the decline in the stock price. The decline in the stock price would certainly be implication for the returns earned by investors. The study investigated and analyzed the fundamental factors of stock returns. The type and characteristic of this study were ex post facto and explanatory survey, the research method used was descriptive, comparative, associative, and verificative. Variables which were analyzed consisted of: dependent variable (Y) which was stock return, and the independent variables which consisted of return on equity (ROE), earnings per share (EPS), price earnings ratio (PER), price book value (PBV), and interest rates. The population in this study consisted of the companies of Consumption Goods Industry and Financial groups which were registered in Indonesian Stock Exchange from 2002 to 2009, which consisted of 31 companies of the Consumer Goods Industry group and 44 companies of the Financial group. The data analyzed, which was 429 data, was a combination of time series data and cross-sectional, which was usualy called data pooling or pooled times series. The results of this research were, first, there were differences in stock returns between the Consumer Goods Industry and Finance, the mean of stock returns generated by the Financial group was relatively higher compared with the mean of stock returns of Consumer Goods Industry group, it indicated that each industry group had a return and various growth. Second, the results of this study explained that r value was 0.387 and R² was 0.1498, this meant that the influence of fundamental factors on stock returns was 14,98%, and the rest was 85,02% influenced by other factors which were not described in this study such as return on assets, dividend and dividend payout ratio, size, and the fundamental beta. So it could be concluded simultaneously or jointly that the fundamental factor analysis could be used to predict stock returns at the companies of Consumption Goods Industry and Financial group. Meanwhile, partially, it was only the EPS which contributed most strongly which was 9,12%. Keywords: stock returns, fundamental factors (ROE, EPS, PER, PBV, and interest rates). Krisis yang terjadi pada tahun 2008 sangat mempengaruhi kinerja perusahaan-perusahaan yang terdaftar di Bursa Efek Indonesia, hal ini terlihat dengan menurunnya harga saham. Menurunnya harga saham tersebut tentunya akan berimplikasi pada return yang didapatkan oleh investor. Penelitian mengkaji dan menganalisis faktor-faktor fundamental terhadap return saham. Jenis dan sifat penelitian ini adalah ex post facto dan survey explanatory, adapun metode penelitian yang digunakan adalah metode yang bersifat deskriptif, komparatif, asosiatif, dan juga verifikatif. Variabel yang dianalisis terdiri dari; Variabel terikat (Y), dalam hal ini adalah return saham, sedangkan variabel bebas yang terdiri dari return on equity (ROE), earning per share (EPS), price earning ratio (PER), price book value (PBV), dan tingkat suku bunga. Populasi dalam penelitian ini terdiri dari perusahaan kelompok Industri Barang Konsumsi dan Keuangan yang terdaftar di Bursa Efek Indonesia periode 2002 s.d 2009 yang terdiri dari 31 perusahaan untuk kelompok industri barang konsumsi, dan 44 perusahaan pada kelompok keuangan. Data yang dianalisis merupakan gabungan antara data time series dan cross sectional, atau biasa disebut data pooling atau pooled times series, dengan 429 data sampel penelitian. Hasil penelitian menunjukkan, pertama; terdapat perbedaan return saham antara kelompok Industri Barang Konsumsi dan Keuangan, rata-rata total return saham yang dihasilkan oleh kelompok Keuangan relatif lebih besar jika dibandingkan dengan rata-rata return saham dari kelompok Industri Barang Konsumsi, hal tersebut mengindikasikan bahwa masing-masing kelompok industri memiliki return dan pertumbuhan yang berbeda-beda. Kedua; hasil penelitian ini menjelaskan bahwa nilai r sebesar 0,387 dan R² sebesar 0,1498, hal ini berarti pengaruh faktor fundamental terhadap return saham sebesar 14,98%, dan sisanya sebesar 85,02% dipengaruhi oleh faktor lain yang tidak dijelaskan dalam penelitian ini seperti return on asset, dividend dan dividend payout ratio, size, serta beta fundamental. Sehingga dapat disimpulkan secara simultan atau secara bersama-sama bahwa analisis faktor fundamental dapat digunakan untuk memprediksikan return saham pada perusahaan kelompok Industri Barang Konsumsi dan Keuangan. Sedangkan secara parsial hanya EPS berkontribusi paling kuat yakni 9,12%. Kata kunci: return saham, faktor fundamental (ROE, EPS, PER, PBV, dan suku bunga)