Analisis Pengaruh Indikator Manajemen Risiko terhadap Return Saham Bank (Studi Empiris: pada Industri Perbankan yang Tercatat di BEI Periode Tahun 2004-2005)

The purpose of this research is to analyze the effect of indicators, which are Penyisihan Penghapusan Aktiva Produktif (PPAP), Capital Adequacy Ratio (CAR), Net Interest Margin (NIM), and Loan to Deposit Ratio (LDR) on stock return. Secondary data was obtained from www.yahoofinance.com and www.bi.go.id with amount of sample size is 756 ratios quarterly from 2004 to 2011. The analytical tools of this research is multiple linier regression. The results of hypothesis test are Penyisihan Penghapusan Aktiva Produktif (PPAP) is negatively but not significant related to stock return, Capital Adequacy Ratio (CAR) is negatively but not significant related to stock return, Net Interest Margin (NIM) is positively and significantly related to stock return, and Loan to Deposit Ratio (LDR) is is positively and significantly related to stock return. Hence, these findings are interesting to be discussed and it can be additional guideline for the similar researches in Indonesia