Analyzing The Effect of Fundamental Factors on Stock Returns: Evidence From Real Estate and Property Companies listed on Indonesia Stock Exchange From 2016-2020

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Kamila, Shafira Dilla (2021) Analyzing The Effect of Fundamental Factors on Stock Returns: Evidence From Real Estate and Property Companies listed on Indonesia Stock Exchange From 2016-2020. Undergraduate thesis, IPMI Business School.

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Abstract

Fundamental factors influence the change in prices where those changes will later affect the stock returns that investors will obtain from the investment that they have made. Many previous research has analyzed the effect of fundamental analysis towards stock return and showing different results which create a research gap in this study. Further, Most of them are using either macro-economy only or financial ratio only. This study aims to analyze the effect of fundamental factors on the stock returns: evidence from real estate and property companies listed on Indonesia stock exchange from 2016 to 2020 using 11 independent variables, that are, exchange rate, GDP, market return, current ratio (CR), quick ratio (QR), return on assets (ROA), return on equity (ROE), debt to assets ratio (DAR), debt to equity ratio (DER), total assets turnover (TATO), price earning ratio (PER), and I independent dummy variable that is Covid-19 era. This study take the year 2020, as the value added to the similar research topics. This is a quantitative study which used purposive sampling technique with a cross sectional-time series data to determine the sample. This study is able to obtain 360 data observations from 18 property and real estate companies in the period of 2016 to 2020. The data are processed using a quantitative approach that is a panel data regression model to test the hypothesis of the study. The t-test result shows, from 12 independent variables, only GDP and marker return that has a positive significant effect towards stock return. Meanwhile, from the F-test result, with a p-value of (0.000), it could be known that the independent variables effect stock returns simultaneously. This means, the rise and fall in the stock return of property and real estate companies can be explained by GDP and market return. This implies investors to analyze and consider these two indicators into their investment decision to get high stock returns.

Item Type: Thesis (Undergraduate)
Subjects: H Social Sciences > H Social Sciences (General)
H Social Sciences > HF Commerce
H Social Sciences > HJ Public Finance
Divisions: Thesis > Bachelor of Business Administration
Depositing User: Dede Faujiah
Date Deposited: 05 Jan 2022 07:03
Last Modified: 05 Jan 2022 07:03
URI: http://repository.ipmi.ac.id/id/eprint/1358

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