Pengaruh Rentabilitas, Likuiditas, Kecukupan Modal dan Ukuran Perusahaan Terhadap Return Saham Pada Perusahaan Perbankan yang Listing di Bursa Efek Indonesia

Abstract

This study aimed to examine the effect of rentability, as measured by return on asset, liquidity as measured by loan to deposit ratio, capital adequacy as measured by the capital adequacy ratio, and firm size as measured by total assets to the stock return (cummulative abnormal returns) in banking companies listed on the Indonesia Stock Exchange (IDX ).

This study considered the causative research. The population in this study are companies of banking listed on the Stock Exchange in 2008 until 2011. While the sample was determined by the purposive sampling method to obtain a sample of 28 companies. Types of data used is secondary data obtained from www.idx.co.id. The method of analysis used is multiple regression analysis.

Based on the results of multiple regression analysis with a significance level of 5%, the results of the study concluded: (1) return on assets has a positive and significant effect on stock return on companiesof banking  listed on the Indonesia Stock Exchange with the β coefficient is positive amounted to 2,064 and significance value 0.011 < 0.05, (2) loan to deposit ratio does not affect the stock return  in companies of banking listed on the Indonesia Stock Exchange with the β coefficient is positive amounted to 0.049  and significance value 0.290 > 0.05. (3) capital adequacy ratio has no effect on stock return on companies of banking listed on the Indonesia Stock Exchange with the β coefficient is negative amounted to -0.1854 and significance value 0.067> 0.05, (4) firm size has no effect on stock return on companies of banking listed on Indonesia Stock Exchange with the β coefficient is positive amounted to 0.113 and significaance value 0.793 > 0.05.

Based on the above results, it is suggested: (1) For the investor, it can be used as a consideration in making investment decisions. (2) For academics and researchers turn, can increase an empirical and scientific evidence regarding rentability, likuidity, capital adequacy and firm size of the stock return, which can be input in line with this research,

Keywords : Rentability, Return on Asset, Likuidity, Loan to Deposit Ratio, Capital Adequacy, Capital Adequacy Ratio, Firm Size , Stock Return