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Journal : Al-Kharaj: Jurnal Ekonomi, Keuangan

Pengaruh Faktor Fundamental dan Risiko Sistematis Terhadap Expected Return Saham dengan Pendekatan Capital Asset Pricing Model (CAPM) pada Saham Indeks LQ-45 Periode 2018-2022 Ayantri Biloa; Rizan Machmud; Dewi Indrayani Hamin
Al-Kharaj: Jurnal Ekonomi, Keuangan & Bisnis Syariah Vol. 7 No. 3 (2025): Al-Kharaj: Jurnal Ekonomi, Keuangan & Bisnis Syariah
Publisher : Intitut Agama Islam Nasional Laa Roiba Bogor

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.47467/alkharaj.v7i3.5813

Abstract

This study aimed to determine the effect of fundamental factors and systematic risk on expected stock returns on LQ-45 Index stocks. Fundamental factors in this study are proxied by: Return On Asset (ROA), Return On Equity (ROE), Price Earning Ratio. While systematic risk is proxied by market risk. This study used secondary data from a population of 45 LQ-45 index companies. In the meantime, the sample in this study were taken using purposive sampling and analyzed using multiple linear regression. The study findings revealed that Return On Asset (ROA) with a value of tcount < ttable (0.074 < 1.664) and significance value (0.941 > 0,05) did not affect the expected return of stocks: further, Return On Equity (ROE) with a value of tcount < ttable (-1.182 < 1.664) and significance value (0.240 > 0.05) did not affect the expected return of stocks. Furthermore, the Price Earning Ratio (PER) with a value of tcount > ttable (2.864 > 1.664) and significance value (0.005 < 0.05) affected the expected return of stocks. Lastly, market risk with a value of tcount < ttable (-6.535 < 1.664) and significance value (0.000 < 0.05) affected the expected return of stock. Simultaneously, Return On Asset (ROA), Return On Equity (ROE), Price Earning Ratio, and market risk affected the expected return return of stocks with a significance value (0.000 < 0.05), where the Fcount > Ftable.
Co-Authors Abd Rahman Pakaya Abdullah, Amnawati Abdullah, Karmila Abdussamad, Zulfia K. Agil Bahsoan Agus Hakri Bokingo Agus S. Soegoto Agus S. Soegoto Agus Supandi Agustin Sri Mutiara Gani Andi Juanna Andi Yusniar Mendo Angelina Adelwice Walukow Aprilia Massie Arlan Ida Asnawi, Melan Angriani Atika Mustapa Ayantri Biloa Ayu Lestari Biki, Mohamad Rizki Chahyani R Mootalu Citra Aditya Kusuma Citra Ningsih Korompot Daud, Rival David P.E. Saerang David P.E. Saerang Dewi Indrayani Hamin Dina Nurhidayah Angio Djoko Lesmana Radji Dungga, Meriana Franssisca Dungga, Meriyana Fransisca Endi Rahman Erika Hasan Fitri Ramadhani Frili Panambunan Hais Dama Hariyanti, Fina Herlina Rasjid Hula, Ridwan Idham Masri Ishak Idris Yanto Niode Idrus, Fadel H. Al Indriani Suleman Irawati Abdul Isa, Ramlan Amir Korika Fattah Lama, Hadija Y. Lanto Miriatin Amali Madjid, Lia Yustika Makarau, Nita Nathania Maku, Nurlaila Agustin Mamonto, Dwi Lestari Mamonto, Prawinta Mark Brian Moh Owen Palangit Mohamad Rizki Biki Mohammad Andika Tobuhu Mokoagow, Rezza Muh. Dandy Putra Thohir Muhammad Sapta Ramadhan Ginting Suka Muli, Celine Masnita Nia Karim Nilawati Harun Nuur Hazar Zulfiani Marlisa Pakaya, Mutia Dhafiyah J. Pakaya, Naista Larasati Paputungan, Siti Nurianti Peggyta Sintia Tayabu Raflin Hinelo Ramdan K.A Hagu Rezkiawan Tantawi Rezkiawan Tantawi Riska Febriyani Umar Robiyati Podungge Rudy S Wenas Rudy S. Wenas Rudy S. Wenas Sahril Sahril Sartika Uwewengo Selvi Selvi Selvi Selvi Senen, Dwi Mutiara Sintiana Midu Srie Isnawaty Pakaya Tineke Wolok Tinneke Wolok Titin S. Pakaya Umin Kango Valentina Monoarfa Win, Thinzar Wiyono, Pazrin Wowor, Moh. Afriansyah Yales Bintang Z.A Sutrisno Yasin, Arman Abd. Yulinda L. Ismail Yusrin S. Hasan Zulfia K. Abdussamad