FAKTOR-FAKTOR YANG MEMPENGARUHI RETURN SAHAM

The purpose of this study is to analyze the factors that affect stock returns on manufacturing
companies listed on the Indonesia Stock Exchange. The population in this study are
Manufacturing companies listed on the Indonesia Stock Exchange in the period 2011-2015 a
total of 17 companies sample automotive manufacturing companies sub-sector consisting of 7
companies. This sampling technique uses Purposive sampling. The result of research indicate
that: (1) Economic Value Added and systematic risk influence partially influence to stock interest
rate return and inflation do not show significant influence. (2) Economic Value Added, systematic
risk, interest rate and inflation simultaneously have a significant effect on stock return level
(3) EVA is the most dominant variable affecting stock returns on manufacturing companies
categorized in the automotive sub-company.

Keywords: Economic Value Added, Beta Saham, Inflasi, suku bunga, return saham