Abstract
This study investigates the effect of financial ratios on stock returns at companies listed in Indeks Saham Syariah Indonesia (ISSI) period 2012-2016. This study uses quantitative methods with secondary data collected from the company's financial statements. The population in this study were all companies listed on the Syariah Indonesia Stock Index (ISSI) during the period of 2012-2016 as many as 149 companies. Based on the sampling technique with purposive sampling method obtained a sample of 59 companies with data collected during the period 2012-2016 as many as 295 financial report data. In this study panel panel regression was used to see the effect of the independent variables consisting of ROCE, TATO, TIER, PER and CFR on the dependent variable namely Stock Return. Processing data in this study using Eviews 9. Software. Data analysis techniques in this study using statistical techniques with the help of Eviews 9 program. Based on 59 companies observed, fixed effect panel data regression models have been used to examine the relevance to the effect of financial ratios on stock returns. The result of the research, found that the Total Asset Turnover (TATO) and Time Interest Income Ratio (TIER) have a positive effect on stock returns. Total Asset Turnover (TATO) and Time Interest Earned Ratio (TIER) can be considered by investors to make decisions in choosing which companies have high stock returns. Return On Capital Employed (ROCE), Price To Earning Ratio (PER), and Cash Flow Ratio (CFR) are not related to stock returns.
Highlights
PENDAHULUAN Pasar modal merupakan tempat bertemunya pihak yang mempunyai kelebihan dana dan pihak yang memerlukan atau kekurangan dana (Nurrohman & Zulaikha, 2013)
Ratio (PER) ini tidak memberikan sinyal pada investor bahwa kinerja perusahaan baik atau buruk serta diduga bahwa rasio Price to Earning Ratio (PER) tidak menjadi pertimbangan utama investor dalam keputusan investasi mereka untuk memilih perusahaan mana yang mempunyai return tinggi
Stock Returns Using Financial Ratios Based on Historical Cost, Compared With Adjusted Prices (Accounting for Inflation) With Neural Network Approach
Summary
Penelitian ini menggunakan metode kuantitatif dengan data sekunder yang dihimpun dari laporan keuangan perusahaan. Populasi dalam penelitian ini adalah seluruh perusahaan yang terdaftar pada Indeks saham Syariah Indonesia (ISSI) selama periode tahun 2012- 2016 sebanyak 149 perusahaan. Berdasarkan teknik pengambilan sampel dengan metode purposive sampling diperoleh sampel sebanyak 59 perusahaan dengan data yang terkumpul selama periode tahun 2012-2016 adalah sebanyak 295 data laporan keuangan. Data yang digunakan dalam penelitian ini adalah data panel. Dalam penelitian ini digunakan regresi data panel untuk melihat pengaruh antara variabel independen yang terdiri ROCE, TATO, TIER, PER dan CFR terhadap variabel dependen yaitu Return Saham. Pengolahan data pada penelitian ini menggunakan software Eviews 9. Teknik analisis data dalam penelitian ini menggunakan teknik statistik dengan bantuan program Eviews 9. Metode analisis dalam penelitian ini menggunakan Regresi Data Panel
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