Determining Factors of Stock Return in Companies Listed on the Indonesia Stock Exchange

Abstract

Return is one of the factors that motivates investors to divest.
Investors or holders do various ways to get the desired return, by
conducting their own analysis on the trading behavior of a stock, or by using the means already provided by analysts in the capital market. This research aims to find out the factors that affect stock returns consisting of Earnings Per Share (EPS), Price to Earning Ratio (PER), Price Book Value (PBV), Return On Assets (ROA) and Return On Equity (ROE). This research sample consists of 41 mining sub-sector companies listed on the Indonesia Stock Exchange in 2018-2019 using purposive sampling methods. Data analysis techniques use multiple linear regressions The results of the analysis show that simultaneously independent variables affect dependent variables. While partially only PBV and ROA have a positive influence on the return of shares in mining companies listed on the Indonesia Stock Exchange in 2018-2019, EPS and ROE have a negative influence on the return of shares in mining companies listed on the Indonesia Stock Exchange in 2018-2019. And per variables have no effect on the return of shares in mining companies listed on the Indonesia Stock Exchange in 2018-2019.