PRASETYO, Alan Budi (2018) The Effect of Profitability toward the Change in Stock Return of Companies Listed on the Indonesia Stock Exchange. Skripsi thesis, Universitas Jenderal Soedirman.

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Abstract

This study entitled Influence Profitability toward Stock Return On Companies Listed In Indonesia Stock Exchange. The purpose of this research is to analyze the effect of profitability ratios consisting of operating profit margin, return on asset, net profit margin, and return on asset toward stock return listing in Indonesia Stock Exchange period 2014-2016. The population in this study are all companies listed on the Indonesia Stock Exchange in period 2014 until 2016. Determination of sample size using slovin method, based on calculation of slovin obtained minimum sample of 85 companies. Sampling method using cluster random sampling method, which is based on manufacturing and non manufacturing group, based on the calculation obtained the sample from manufacturing as much as 23 companies and from non manufactures as many as 62 companies. Analysis tool used multiple linear regression. The results showed that operating profit margin has no effect on stock returns; return on equity has a positive effect on stock return; net profit margin has no effect on stock return; return on assets has a positive effect on stock returns. Based on the results of the coefficient of determination analysis in this study is quite small that only amounted to 5.1 percent, meaning there are still other variables that can affect the stock return. Future research is expected to add other profitability variables that can affect stock return, such as price to book value, dividend per share, and price earnings ratio so that the study becomes more comprehensive. In addition to the investors the results of this study could be information to focus on companies that have return on equity above 5.65 percent or return on assets above 2.21 percent when want to invest in manufacturing companies, because based on the analysis , these two variables are statistically proven to affect stock returns.

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