Fundamental Factor Analysis on Stock Returns Based on the Panel Data of LQ’45 Index
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This study aims to investigate the inﬂuence of fundamental factors on stock returns on the companies listed in the LQ’45 index in the Indonesia Stock Exchange. This research uses explanatory research design. The population consists of 45 companies listed in the LQ’45 index. The purposive sampling technique is used and collected a total of 23 companies as the sample. The number of samples was 23 companies because these companies consistently formed the LQ’45 index for the 2014-2018 periods. Those companies are fulﬁlling the criteria which are continually included in the LQ’45 index throughout the analysis period. Thus, the data panels used in this study were as much as 115 observations. Fundamental factors proxied by TATO, MBV, CR, DER, NPM, and EPS. The multiple linear regression analysis is used and the results showed that TATO has a signiﬁcant positive e ect on stock returns, MBV has a signiﬁcant negative e ect on stock returns, while CR, DER, NPM, and EPS have no signiﬁcant e ects on the stock return of LQ’45 index-listed companies.
- LSP-Jurnal Ilmiah Dosen