ANALYSIS OF THE EFFECT OF RETURN ON ASSETS, EARNINGS PER SHARE, INFLATION RATE, AND INTEREST RATE ON STOCK RETURN: A CASE STUDY OF SOE BANKING COMPANIES LISTED IN INDONESIA STOCK EXCHANGE

Abstract

One of the means for medium and long-term investments is the capital market. Capital market is the most effective means for investors to invest in profits. This research aims to analyze the effect of changes in Return on Assets (ROA), Earnings per Share (EPS), Inflation Rate, and Interest Rate on stock return in SOE banks listed on the Indonesia Stock Exchange within the research period of 2012-2016. This research uses secondary data. The research population is the financial statements of 4 Persero Banks including PT Bank Negara Indonesia Tbk, PT Bank Rakyat Indonesia Tbk, PT Bank Mandiri Tbk, and PT Bank Tabungan Negara Tbk within the research period of 5 years from 2012 to 2016. Research sampling was conducted using the purposive sampling method. The data analysis was carried out using classical assumption test, multiple linear regression analysis, t-test, and F-test with the help of SPSS 19. The research findings showed that the Interest Rate partially has a significant effect on Stock Return. Meanwhile, ROA, EPS, and Inflation Rate partially do not have a significant effect on Stock Return. Moreover, simultaneously ROA, EPS, Inflation Rate and Interest Rate have a significant effect on Stock Return.

Keywords

• Return on assets
• earnings per share
• inflation rate
• interest rate
• stock return