The Effect of Fundamental and Macroeconomic Factors to Stock Return

This study examines the effect of fundamental and macroeconomic factors on the return on company shares in Indonesia. Fundamental factors in this study are represented by the dividend-price ratio, dividend yield, earning-price ratio, stock return variance, book-to-market ratio, net equity expansion, term spread, and default return spread. Meanwhile, macro factors are represented by the treasury bill rate, long-term yield, and inflation. This study uses a quantitative approach with a multiple linear regression method. The sample in this study were all companies listed on the Kompas-100 Index. The study results stated that the dividend yield variable, price-earnings ratio, stock return variance had a significant positive effect on stock returns. Inflation and default return spread do not affect stock returns. The book-to-market ratio, net equity expansion, and long-term return significantly affect stock returns. Keywords: stock return, fundamental factors, macro factors