PENGARUH FAKTOR RISIKO SISTEMATIS DAN FAKTOR FUNDAMENTAL TERHADAP KINERJA PASAR SAHAM PERUSAHAAN

YAP, CHRISTINA (2008) PENGARUH FAKTOR RISIKO SISTEMATIS DAN FAKTOR FUNDAMENTAL TERHADAP KINERJA PASAR SAHAM PERUSAHAAN. Other thesis, Prodi Akuntansi Unika Seogijapranata.

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Abstract

The objective of this study is to investigate the influences of systematic risk factor and the fundamental factor toward the firm stock market activity. The proxy of the firm stock market activity is the stock return. The investigation of this issue is crucial to be investigated due to almost every minute, the stock prices of the public firms are fluctuating significantly and it has been a common phenomenon which often happens in the stock exchange. The factors that cause the volatility of the stock prices still become the subject of debate. The main difference between the last studies is the fundamental factors of the last studies are measured by the financial ratios. Whereas, the fundamental factors of the study are measured with net income, operating cash flow, and equity book value. This is caused by the firms activity parameters which get the main attention from the investors and the creditors are income and cash flow information. On the other hand, if the firm suffers a financial loss, the market acts as if trust to the book value as the future normal revenue that is expected and also as the prediction of the bankruptcy. This study applies the Ohlson (1995) valuation theory. The study hypothesis: first, the systematic risk factor influences positively toward the stock return. Second, the fundamental factors influence positively toward the stock return. Third, the systematic risk factor and the fundamental factors do together influencing positively toward the stock return. Using sample from listed manufacture firms at Jakarta Stock Exchange (JSX) over 2003-2005. Generally, the results indicate that the systematic risk factor and the fundamental factors (net income, operating cash flow, and equity book value) do together influencing positively toward the stock return. Specifically, the results indicate that as follows 1) the systematic risk factor influences positively toward the stock return (accept Ha1); 2) the fundamental factors (net income, operating cash flow, and equity book value) influence positively toward the stock return (accept Ha2); 3) the systematic risk factor and the fundamental factors (net income, operating cash flow, and equity book value) do together influencing positively toward the stock return (accept Ha3).

Item Type: Thesis (Other)
Subjects: 000 Computer Science, Information and General Works
> 650 Management > 658 Management > Marketing Management
Divisions: Faculty of Economics and Business > Department of Accounting
Depositing User: Mrs Christiana Sundari
Date Deposited: 17 Sep 2015 12:39
Last Modified: 17 Sep 2015 12:39
URI: http://repository.unika.ac.id/id/eprint/2816

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