Lukas, Aprilia Setiadi and Murhadi, Werner R. and Herlambang, Arif (2022) The Effect of Fundamental and Macroeconomic Factors to Stock Return. In: The 4th International Conference on Business and Banking Innovations (ICOBBI) 2022.
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Abstract
This study examines the effect of fundamental and macroeconomic factors on the return on company shares in Indonesia. Fundamental factors in this study are represented by the dividend-price ratio, dividend yield, earning-price ratio, stock return variance, book-to-market ratio, net equity expansion, term spread, and default return spread. Meanwhile, macro factors are represented by the treasury bill rate, long-term yield, and inflation. This study uses a quantitative approach with a multiple linear regression method. The sample in this study were all companies listed on the Kompas-100 Index. The study results stated that the dividend yield variable, price-earnings ratio, stock return variance had a significant positive effect on stock returns. Inflation and default return spread do not affect stock returns. The book-to-market ratio, net equity expansion, and long-term return significantly affect stock returns. Keywords: stock return, fundamental factors, macro factors.
| Item Type: | Conference or Workshop Item (Paper) |
|---|---|
| Subjects: | 300 - SOCIAL SCIENCE > 330 - 339 ECONOMICS |
| Divisions: | ICOBBI (International Conference of Business and Banking Innovations) |
| Depositing User: | Perpustakaan Universitas Hayam Wuruk Perbanas |
| Date Deposited: | 22 Jun 2022 03:34 |
| Last Modified: | 28 Jun 2022 01:59 |
| URI: | http://eprints.perbanas.ac.id/id/eprint/9258 |
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