ISSN 2303-1174 S.C. Tamuunu., F. Rumokoy.

The Influence of Fundamental…

THE INFLUENCE OF FUNDAMENTAL FACTORS ON STOCK RETURN

(Case Study: Company Listed in LQ45 2011-2014)

PENGARUH FAKTOR-FAKTOR FUNDAMENTAL TERHADAP RETURN SAHAM

(Studi Kasus: Perusahaan Terdaftar di LQ45 2011-2014)

By :
Sonnia Cindy Tamuunu
Farlane Rumokoy

Faculty of Economics and Business,

International Business Administration (IBA) Program
University of Sam Ratulangi Manado
email: [email protected]
[email protected]

Abstract: Consumption and investment are the two things are related because, delay consumption at a time
could be interpreted as an investment that is used for future consumption. The investment is an investment for
one or more assets owned and usually in a long period of time with the hope of obtaining a profit in the future.
Investments can be classified into direct investment and indirect investment. Direct investment made by
purchasing directly from a company's financial assets either through intermediaries or by any other means. One
of which is included in direct investment. Fundamental and technical information can be used as a basis for
investors to predict the return, risk or uncertainty, the amount, timing, and other factors associated with
investment activities in the capital market. Based on the problem background above the purpose of this research
is to analyze the effect ROA, CR, EPS, and NPM influence on stock returns, partially and simultaneously.
Using a regression method as a data analysis tools, this research found that ROA, CR, EPS, and NPM has
significant influence on stock returns, partially and simultaneously.

Keywords: investment, fundamental, technical, investors, stock returns

Abstarct: Konsumsi dan investasi adalah dua hal yang terkait karena, konsumsi delay pada suatu waktu dapat
diartikan sebagai investasi yang digunakan untuk konsumsi masa depan. investasi adalah investasi untuk satu
atau lebih aktiva yang dimiliki dan biasanya dalam jangka waktu yang panjang dengan harapan mendapatkan
keuntungan di masa depan. Investasi dapat diklasifikasikan ke dalam investasi langsung dan investasi tidak
langsung. Investasi langsung dilakukan dengan membeli langsung dari aset keuangan perusahaan baik melalui
perantara atau dengan cara lain. Salah satu yang termasuk dalam investasi langsung. Informasi fundamental
dan teknis dapat digunakan sebagai dasar bagi investor untuk memprediksi return, risiko atau ketidakpastian,
jumlah, waktu, dan faktor-faktor lain yang terkait dengan kegiatan investasi di pasar modal. Berdasarkan latar
belakang masalah di atas tujuan penelitian ini adalah untuk menganalisis pengaruh ROA, CR, EPS, dan NPM
berpengaruh terhadap return saham, parsial dan simultan. Menggunakan metode regresi sebagai alat analisis
data, penelitian ini menemukan bahwa ROA, CR, EPS, dan NPM berpengaruh signifikan terhadap return
saham, parsial dan simultan.

Kata kunci: Investasi, fundamental, teknis, pemodal, pengembalian saham

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INTRODUCTION

Research Background
Fundamental and technical information can be used as a basis for investors to predict the return, risk or
uncertainty, the amount, timing, and other factors associated with investment activities in the capital market
(Husnan, 2004). If the prospect of a public company is very strong and good, then the company's stock price is
expected to increase as well (Ang, 1997). With the rise in the stock price is expected to return (return on stocks)
will also increase. Financial ratios can be used to explain the strengths and weaknesses of corporate finance as
well as having a role to predict the price or stock returns in the stock market. Ang (1997) classifies financial
ratios into five types: liquidity ratios, activity ratios, profitability ratios (profitability), the solvency ratio and the
ratio of the market.
The reason why the researcher chose LQ 45 as the research object because the LQ 45 stocks most
actively traded on the Indonesia Stock Exchange and is the leading stocks selected from each industry sector so
that it can be more accurate in analysis in a coherent time (time series). Shares in the company LQ-45 is the
highest shares of 45 companies. Group share price index LQ-45 is one of five sectoral indices IDX who have
this level of stock prices is quite good apart from agriculture, mining, various industries and basic industries. In
overall, based on the phenomenon above, this study taken the title "Analysis the Influence of Fundamental
Factors on Stock Return case study company listed LQ45 2011-2014.
Research Objectives
Based on the formulation of the problem that has been mentioned, the purposes of this study are:
1. To analyze the influence ROA, CR, EPS, NPM influence on stock returns of LQ 45 Companies Listed on the
Stock Exchange Period 2008-2012 simultaneously.
2. To analyze the influence ROA influence on stock returns of LQ 45 Companies Listed on the Stock Exchange
Period 2008-2012 partially
3. To analyze the influence CR influence on stock returns of LQ 45 Companies Listed on the Stock Exchange
Period 2008-2012 partially.
4. To analyze the influence on EPS influence on stock returns of LQ 45 Companies Listed on the Stock
Exchange Period 2008-2012 partially.
5. To analyze the influence NPM influence of stock returns on LQ 45 Companies Listed on the Stock Exchange
Period 2008-2012 partially.

THEORITICAL REVIEW
Stock Return

Capital market as an alternative investment vehicle to offer a rate of return (return) at a certain risk level
(Ellen, 2011). Stock return is the rate advantage enjoyed by investors on an investment that does (Ang, 1997).

Return on Asset (ROA)

This is due to the stability of share prices will affect the dividend and returns to be received by investors
in the future. If the company's ability to generate profits is high, then the stock price will also be increased to
result in increased stock returns in the future (Husnan, 2004). Return on Assets (ROA) is a profitability ratio
that is used to measure the effectiveness of the company in the benefit by utilizing all its assets (Ang, 1997).
Current Ratio
Husnan (2002), stated that current ratio is the ratio that measures the extent to which the ability of the
company is commonly used in current assets to meet current liabilities. CR is one measure of liquidity that aims
to measure the company's ability to repay short-term liabilities with its current assets (Rio, 2013).

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Earning Per Share (EPS)

Arista (2012), stated that earnings per share is one of the ratio of the market is the result or the revenues
to be received by the shareholders for each share owned on the participation in the company. Earning per share
is one of the ratio of the market, according to Ang (1997).

Net Profit Margin (NPM)

Net Profit Margin (NPM) is a ratio used to measure the level of return net profit to net sales (Cicilia,
2012). According to Bambang Riyanto, net profit margin is defined as net profit per dollars of sales (2001: 336).

Previous Research
1. Rio Malintan (2013) on the effect of CR, and ROA on stock returns. Results from these studies are ROA
have significant influence while CR and not significant.
2. I Wayan Adi Suarjaya and Henny Rahyuda (2013), the influence of fundamental factors on stock returns in
food and Beverage Company in BEI. Results of these studies are EPS negative and not significant to stock
return. Then, NPM and not significant positive effect on stock returns.

Hypothesis
Based on the research objectives, the formulation of the problems that have been described, and theoretical
framework, then drafted the following research hypothesis:
H1: ROA, CR, EPS, NPM influence stock returns of LQ 45 Companies Listed on the Stock Exchange Period
2011-2014. Simultaneously
H2: ROA has positive effect of Stock Return on LQ 45 Companies Listed on the Stock Exchange Period 2011-
2014. Partially
H3: CR has positive effect of Stock Return on stock returns on LQ 45 Companies Listed on the Stock Exchange
Period 2011-2014. Partially
H4: EPS has positive effect on Stock Return of LQ 45 Companies Listed on the Stock Exchange Period 2011-
2014. Partially
H5: NPM has positive effect on Stock Return of LQ 45 Companies Listed on the Stock Exchange Period 2011-
2014. Partially
RESEARCH METHODS
Type of Research
This research is causal type of research and using multiple regression data analysis tool to analyze the
influence of Financial Fundamental Factors on Stock Return.
Place and Time of Research
This research will be conducted in Manado from June until August 2015, and the data will be taken
from BEI website.

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Research Procedure

ROA (X1)

CR (X2)
Stock Return (Y)

EPS (X3)

NPM (X4)

Figure 1. Research Procedure

Population and Sample

The population in this study are the companies that are included in the LQ-45 index listed in the
Indonesia Stock Exchange (BEI) in the period during 2011-2014. The number of insurance companies that go
public as many as 11 companies. The samples used in this study were as many as 17 companies. The sampling
technique is done through purposive sampling method with the purpose to obtain samples in accordance with
the purpose of research.

Secondary Data

The data used in this study is in the form of annual reports and historical reports of financial ratios of
each company LQ-45 are listed on the Stock Exchange in the period 2011-2014 Collecting data in this study is
done by non-participant observation is to examine the books, journals and papers to obtain a comprehensive
theoretical foundation as well as the exploration of the annual financial statements of LQ-45 company listed on
the Stock Exchange in 2011-2014 to obtain data variables used research.

Operational Definition

Variables examined in this study are:

1. Dependent Variable (Variable Y)

The dependent variable used in this study is the Stock Return on the LQ-45 company listed on the Stock
Exchange 2009-2012 period.
2. Independent Variable (Variable X)
Independent variables used in this study is ROA, CR, EPS, and NPM on the company LQ 45 period 2008-
2011.

Data Analysis Method Validity

Validity testing is used to know whether the measurement tool that selected can measure what that
supposed to be measured. Valid instrument means the measurement tools that used to get the data is valid.

Reliability Test
Reliability of a measure is an indication of the stability and consistency with which the instrument
measures the concept and helps to assess the “goodness” of a measure. Cronbach’s Alpha is a reliability
coefficient that indicates how well the items in a set are positively correlated to one another.

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Multiple Regression Analysis
This method is used in analyzing the variables in this study were using multiple linear regression. How
big the influence of independent variables to the dependent variable is was calculated using the following
equation regression line (Ghozali, 2005):

Y = a + b1x1 + b2x2 + b3x3 + b4x4 + e

Y = a + b1. ROA (X1) + b2. CR (X2) + b3. EPS (X3) + b4. NPM (X4) + e

Information
Y = Return Shares
a = constant
b = coefficient of the regression line
X1 = ROA
X2 = CR
X3 = EPS
X4 = NPM
e = standard error

RESULT AND DISCUSSION

Heteroscesdastisity Test

Figure 1. Heteroscesdastisity Test

Source: SPSS Output, 2015

The Figure 1, it can be seen that there is no established pattern, in other words the graph describing the plot
spread above and below the number 0 (zero) on the Y-axis. This proves that the independent variables which are
ROA (X1), CR (X2), EPS (X3) and NPM (X4) are free of Heteroscesdastisity.

Multicolinearity Test
The purpose was to test the assumption of multicollinearity in the regression model to test whether there
is a correlation between the independent variables and dependent variable

Multicolinearity Test
Table 1. Multicolinearity Test Table

Variable VIF

X1 2.445
X2 1.148
X3 1.093
X4 2.332

Source: SPSS Output, 2015.

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The results in the table above can be seen by SPSS output does not occur because the symptoms of
multicollinearity VIF value of X1 – X4 is below numbers < 10, this means that there is no connection between
the independent variables. Thus, multicollinearity assumptions are met (free of multicollinearity).

Normality Test

Figure 2. Normality test

Source: SPSS Output, 2015

From the figure 2, can be seen that the points spread and spread around the diagonal line in the direction
diagonal lines. This proves that the model Regression in test normality assumption was met.

4.1.2 Regression Analysis

In calculating the regression between independent variables and dependent variable, with the help of a
computer program package Based on the statistical software SPSS Version 19.0, of the data processing on the
attachment is as follows:

Unstandardized Coefficient Beta Result

Table 3. Unstandardized Coefficient Beta Result

Variable B

(Constant) .037

X1 .310
X2 . 037
X3 . 223
X4 ,206

Source: SPSS Output, 2015

From the analysis, obtained by linear regression equation as follows

Y = α + b1 X1 + b2 X2 + + b3 X3 + b4X4 + b5 X5 + e
Y = 0.037 + 0,310 X1 + 0,037 X2 + 0,223 X3 +0,206 X4 + e.
From the multiple linear regression equation above, it can inform the interpretation as follows:
1. Constant value of 0.037 means that if the independent variables in this research of Variable X1 – X4 are
constant or zero, dependent variable Y will increased at 0.037 point.
2. Coefficient value of 0.310 means that if the variables in this research of X1 increased by one scale or one
unit, it will improve and increase Y at 0.310.
3. Coefficient value of 0.037 means that if the variables in this research of X2 increased by one scale or one
unit, it will improve and increase Y at 0.037.

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Coefficient value of 0.223 means that if the variables in this research of X3 increased by one scale or one unit, it
will improve and increase Y at 0.223.

4. Coefficient value of 0.206 means that if the variables in this research of X4 increased by one scale or one
unit, it will improve and increase Y at 0.206.
5. Thus, if there is any change in factors measuring of X1 – X4 will change dependent variable Y.

4.1.3 Coefficient Correlation (R) and Determination (R2)

Coefficient Correlation (R) and (R2) Result

Table 4. Coefficient Correlation (R) and (R2) Result

Model R R Square

1 .836a .714

Source: SPSS Output, 2015

The analysis of correlation (r) is equal to 0.836 indicating that the Correlation of The Influence of X1 – X4 on Y
has a strong relationship.

Coefficient Determination (R2)

To determine the contribution The Influence of X1 – X4 on Y can be seen that the determinant of the
coefficient (R2) in the table above. R2 value of 0.714 in this study may imply that the contribution of
Independent variable on dependent variable of 71.4 % while the remaining 28.6% is affected by other variables
not examined in this study.

Hypothesis Test

Table 5. ANOVA
ANOVA

Model Sum of Squares Df Mean Square F Sig.

1 Regression .484 4 .121 3.235 .017a

Residualn 2.805 75 .037
Total 3. 289 79
Source: SPSS Output 2015
Value of 3.235 of F Count significant 0.017. Because the sig < 0.05 means the confidence of this
prediction is above 95% and the probability of this prediction error is below 5% which is 0.017. Therefore H 0 is
rejected and accepting Ha. Thus, the formulation of the hypothesis that The Influence of X 1 – X4 on Y
Simultaneously, accepted.

Partially Test

Partial test is used to test the effect of each independent variable X1 – X4 in partial effect on Y by
performing comparisons between the t count values with t Table value at α = 0.05 or compare the probability of the
real level 95% of the partial coefficient (r) so that it can be seen the influence of the independent variables
individually. Using the criteria of hypothesis testing by t test as follows:
-t count < t table (0,05), then H0 is accepted and rejecting Ha.
-t count > t table (0,05), then H0 is rejected and accepting Ha

The data table below shows the t-test partially result:

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Discussion
Return on Asset (ROA)

ROA fails to predict the Stock Return due to the global crisis happen in this several years ago.
Companies are fail to protect their asset from losing caused by global crisis. In order to face against the financial
crisis, company must to let go a several assets to maintain and fulfill the operational fund. This condition makes
the company found a difficulties to save their assets from losing.

Current Ratio (CR)

From the results of the analysis have been made known variables current Ratio CR) effect on stock
return of LQ45 companies listed on the Indonesian Stock Exchange (BEI) 2010-2014. CR is one measure of
liquidity that aims to measure a company's ability to repay short-term liabilities with its current assets. This ratio
is calculated by dividing current assets by its current debt. This ratio is often called the working capital ratio
which indicates the amount of available current assets owned by the company to respond to the needs of
business and continue its daily business activities.

Earning Per Share (EPS)

The test results found that EPS has no effect on stock returns. This is demonstrated by the significant
value of testing is well above 0.05. This shows that companies are getting bigger EPS inconsistent to have a
greater stock returns.

Net Profit Margin (NPM)

The test results found that NPM has a significant effect on stock returns. This is demonstrated by the
significant value of the test below 0.05. This shows that companies are getting bigger NPM consistently have a
greater stock returns.

CONCLUSION AND RECOMMENDATION

Conclusion
Based on the analysis and discussion that has been stated in the previous chapter, the authors draw some
conclusions as follows:
1. ROA, CR, EPS, and NPM have significant influence on stock returns
2. ROA has no significant influence on stock returns
3. CR has significant influence on stock returns
4. EPS has no significant influence on stock returns
5. NPM has significant influence on stock returns.

Suggestions

From the conclusions that have been raised previously, then the next author will present suggestions as inputs
for the company, as follows:

1. In theory, stock returns are influenced by fundamental factors and market factors. Because ROA and NPM
is a fundamental factor and proven to have no effect on stock returns, it is advisable in future studies to
increase the fundamental factors such as Return On Asset (ROA), Net Profit Margin (NPM) and market
factors such as economic conditions, financial results announcement, the company's good name in the eyes
of investors, and others. so the results are more varied significantly and the coefficient of determination can
be improved, so that modeling is becoming more complex.

In subsequent studies need to add the object, is not limited to LQ45 alone but on manufacturing companies that
go public on the IDX so as to improve the data to be more accurate.

2. Future studies need to consider the addition of a period of time so as to increase the number of samples in
research and can provide a more varied.

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