THE EFFECT OF EARNING PER SHARE AND BOOK VALUE PER SHARE TO THE STOCK RETURN OF 23 MANUFACTURING COMPANIES THAT ARE LISTED IN INDONESIA STOCK EXCHANGE ON 2004-2009

• Main Author: VERONICA (NIM : 29109036); Pembimbing : Prof. Dr. Ir. Sudarso Kaderi Wiryono, DEA; Dra.Isrochma, RUTH
• Format: Theses
• Language: Indonesia
• Online Access: https://digilib.itb.ac.id/gdl/view/19393
• Institution: Institut Teknologi Bandung

Manufacturing is one of very sensitive sector to macro economic indicators. This resulted manufacturing stock returns in Indonesia Stock Exchange is very volatile and very difficult to be predicted. This research was conducted to know the fundamental factors that affect stock returns in the manufacturing sector. The fundamental factors used in this research is Earning per Share and Book Value per Share. So far, there is no strong theoretical base about the most fundamental variables that predominantly affect the stock return. Ohlson (1995) and Aboody (2002) successsfully quantified the fundamental variables that most influence on stock return, that are the Earning per Share (EPS) and Book Value per Share (BVPS). In this study, the main problem is about "Is there a significant relationship between variables Earning per Share (EPS) and Book Value per Share (BVPS) on stock returns of manufacturing in Indonesia Stock Exchange listing." The sampling method used was purposive sampling method. From the population of manufacturing companies listed on the Jakarta Stock Exchange, was taken 23 companies that meet the sample criteria, that are having a complete financial reports from 2004 to 2009, listed on the Jakarta Stock Exchange since 2004 up to 2009 and their shares are actively traded on exchanges. Hypothesis testing is done by using the Least Squares and ARCH / GARCH. Model ARCH / GARCH model will only be used if the Least Squares can not pass the test which includes the assumption of classical test multicollinearity, heteroscedasticity, and autocorrelation models. The lessons that comes out from this final project, is the information of such analysis is not yet significant to be a benchmark in analyzing the stock market volatility. The results showed partially, fundamental factors which consists of Earning per Share (EPS) and Book Value per Share (BVPS) has a significant influence on stock return. Then simultaneously, the fundamental factor which consists of Earning per Share (EPS) and Book Value per Share (BVPS) has a significant influence on stock returns of manufacturing, although only 35.09% of stock returns can be explained by the independent variables. This fact proves that there are still 64.91%, which still can be explained by other variables outside of selected variables affecting manufacturing stock returns.