Abstract:
The purpose of this research is to analyze the fundamental factor of micro and
macroeconomic whichare Return on Asset, Earning Per Share, Debt to Equity
Ratio, inflation, rupiah exchange rate and interest rate of Bank Indonesia to stock
return. This research used multiple linear regression analysis for the test.
The populationis Consumer Goods Industry Company registered in Indonesian
Stock Exchange in the period of 2013-2017 and they fulfilled the chosen sample
criteria. Twenty three companies were used as sample. The data were collected by
taking secondary data from annual report company in the period of 2013-2017 that
were published at Indonesian Stock Exchange. The hypothesisof the research was
tested by multiple linear regression.
The results of the study with the coefficient of determination test (R2) concluded
that the return of the consumer goods industry sector can be explained by the six
independent variables of 9.6%. The F Test results in this study indicate that micro
and macro economic variables (the rate of Return on Assets, Earning Per Share,
Debt to Equity Ratio, inflation, rupiah exchange rate and interest rates of Bank
Indonesia) as a whole have a signi fi cant effect. T test results The results of the
analysis show that Earning Per Share and inflation affect stock returns. The
Earning Per Share variable has a significance value of 0.038 smaller than 0.05.
Then the inflation variable has a significance value of 0.020 smaller than 0.05.
Whereas the other variables in this study are Return on Assets, Debt to Equity
Ratio, rupiah exchange rate and Bank Indonesia interest rates that have no effect
on stock returns.
Keywords : Return on Asset, Earning Per Share, Debt to Equity Ratio, inflation,
rupiah exchange rate, interest rate of Bank Indonesia and stock return
