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

Abstract

The aims of this study is to analyze factors influence stock return consist of earnings
per share, earning management, investment opportunity set, risk (beta), companies size,
leverage and sales price ratio.
Population of this research are go public manufacturing companies which enlist at
Indonesia Stock Exchange from 2006-2009 and samples are taken by purposive sampling
method, that is taking samples by some criteria. Sample that used in this research are 36
manufacturing companies listed in the Indonesia Stock Exchange from 2006-2009 with
amount 144 observation . The using of analyze method is by multiple linier regression.
Hypothesis testing using the t test and F test.
The result of this research show by simultan that earnings per share, earning
management, investment opportunity set , risk (beta), companies size, leverage, and sales price
ratio have an effect on stock return at firms listed in Indonesia Stock Exchange of perception
period 2006-2009. While by Partial show that earnings per share have no influence significant
to stock return, earning management have positive significant influence to stock return ,
investment opportunity set have positive influence significant to stock return, risk (beta) have
positive influence significant to stock return, companies size have no influence significant to
stock return, leverage have positive influence significant to stock return and sales price ratio
have no influence significant to stock return.
Keywords: earnings per share, earning management, investment opportunity set, risk (beta),
companies size, leverage, sales price ratio, stock return