Analysis of the Influence of Company Fundamental Factors on Stock Returns (Empirical Study of Non-Financial Companies Listed on the Indonesia Stock Exchange 2003-2012)

Fitri Rosalina (Perbanas Instutite)
Jamalina Mieke Juniata (Universitas Gadjah Mada)
Mamduh Mahmadah Hanafi (Universitas Gadjah Mada)

Formosa Journal of Multidisciplinary Research (FJMR)
Vol. 4 No. 3 (2025): March 2025

Analyzing the impact of fundamental parameters that concentrate on return on equity, return on assets, price to book value, earnings per share, price-earnings ratio, and debt-to-equity ratio on stock returns is the aim of this study. The study's participants are shares of non-financial companies that were listed between 2003 and 2012 on the Indonesia Stock Exchange.  73 businesses make up the sample size. The analysis method used in this research is with multiple linear regression analysis. The research findings indicate that while the price-earning ratio and return on equity have a positive correlation, they do not significantly impact stock returns. On the other hand, price to book value and earnings per share show a strong positive relationship. The variables of return on assets and debt to equity ratio are not significant and have a negative correlation with stock returns. However, this study confirms that investors continue to focus on fundamental criteria, particularly PBV and EPS, as a basis for predicting stock returns of non-financial companies on the Indonesia Stock Exchange.