Lampiran 1. Daftar Perusahaan Sampel
NO KODE NAMA PERUSAHAAN
1 AISA PT. Tiga Pilar Sejahtera Food Tbk 2 AMFG PT. Asahimas Flat Glass Tbk 3 ASII PT. Astra International Tbk
4 AUTO PT. Astra Otopart Tbk
5 CPIN PT. Charoen Pokphand Indonesia Tbk
6 DLTA PT. Delta Jakarta Tbk
7 DPNS PT. Duta Pertiwi Nusantara Tbk 8 DVLA PT. Darya Varia Laboratoria Tbk 9 EKAD PT. Ekadharma International Tbk
10 GGRM PT. Gudang Garam Tbk
11 HMSP PT. HM Sampoerna Tbk
12 ICBP PT. Indofood CBP Sukses Makmur Tbk
13 IMAS PT. Indomobil Sukes International Tbk 14 INAI PT. Indal Aluminium Industry Tbk 15 INDF PT. Indofood Sukses Makmur Tbk 16 INDS PT. Indosping Tbk
17 INTP PT. Indocement Tunggal Perkasa Tbk
18 KBLI PT. KMI Wire and Cable Tbk
19 KIAS PT. Keramika Indonesia Assosiasi Tbk
20 KLBF PT. Kalbe Farma Tbk
22 LMSH PT. Lionmesh Prima Tbk
23 MERK PT. Merck Tbk
24 MLBI PT. Multi Bintang Indonesia Tbk
25 MYOR PT. Mayora Indah Tbk
26 ROTI PT. Nippon Indosari Corpindo Tbk 27 SCCO PT. Supreme Cable Manufacturing Tbk 28 SKLT PT. Sekar Laut Tbk
29 SMGR PT. Semen Indonesia (Persero) Tbk
30 SMSM PT. Selamat Sempurna Tbk
31 SQBB PT. Taisho Pharmaceutical Indonesia Tbk
32 TCID PT. Mandom Indonesia Tbk
33 TOTO PT. Surya Toto Indonesia Tbk 34 TRIS PT. Trisula International Tbk 35 TRST PT. Trias Sentosa Tbk
36 TSPC PT. Tempo Scan Pacific Tbk 37 UNVR PT. Unilever Indonesia Tbk
Lampiran 2. Tabulasi Data
No Periode Kode Nama Perusahaan
Variabel
Dependen Variabel Independen
Return Saham ROE DPR PBV EPS
1 2013 AISA PT. Tiga Pilar Sejahtera Food Tbk 0.32 14.75 7.52 1.95 106.39 2 AMFG PT. Asahimas Flat Glass Tbk -0.16 12.6 10.26 1.13 780
4 AUTO PT. Astra Otopart Tbk -0.01 10.6 41.63 1.87 209 5 CPIN PT. Charoen Pokphand Indonesia Tbk -0.08 0.26 29.68 5.53 155
6 DLTA PT. Delta Jakarta Tbk 0.49 39.86 72.66 9.04 16515
7 DPNS PT. Duta Pertiwi Nusantara Tbk 0.22 29.91 8.58 0.70 174.85 8 DVLA PT. Darya Varia Laboratoria Tbk 0.3 14 30.80 2.74 112 9 EKAD PT. Ekadharma International Tbk 0.11 16.59 14.29 1.15 56
10 GGRM PT. Gudang Garam Tbk -0.25 14.9 35.56 2.75 2250
11 HMSP PT. HM Sampoerna Tbk 0.04 76.4 53.06 27.77 2450
12 ICBP PT. Indofood CBP Sukses Makmur Tbk 0.31 18 48.69 1650.57 382 13 IMAS PT. Indomobil Sukes International Tbk -0.08 9.12 15.03 2.04 193 14 INDF PT. Indofood Sukses Makmur Tbk 0.13 9.6 64.91 1.57 285
15 INDS PT. Indosping Tbk -0.36 8.4 101.79 0.80 280
16 INTP PT. Indocement Tunggal Perkasa Tbk -0.11 26.4 33.06 3.24 1361 17 KBLI PT. KMI Wire and Cable Tbk -0.24 8.53 44.44 660.29 18 18 KIAS PT. Keramika Indonesia Assosiasi Tbk -0.11 4 5.11 1.18 4.7
19 KLBF PT. Kalbe Farma Tbk 0.18 22.64 41.46 6.91 41
20 LION PT. Lion Metal Works Tbk 0.15 16.11 32.13 1.55 1245
21 MERK PT. Merck Tbk 0.24 34.25 45.58 8.39 7832
22 MLBI PT. Multi Bintang Indonesia Tbk 0.67 90 35.45 2560.32 41091
23 MYOR PT. Mayora Indah Tbk 0.3 26 20.63 5.97 1115
24 ROTI PT. Nippon Indosari Corpindo Tbk -0.85 20.32 118.04 6.65 31.2 25 SCCO PT. Supreme Cable Manufacturing Tbk 0.09 14.89 49.12 1287.32 509 26 SMGR PT. Semen Indonesia (Persero) Tbk -0.11 25.7 40.63 3.86 905
27 SMSM PT. Selamat Sempurna Tbk 0.37 36 53.74 4.96 214
28 SQBB PT. Taisho Pharmaceutical Indonesia Tbk 0.28 43 84.33 8.97 14822
29 TCID PT. Mandom Indonesia Tbk 0.08 13 49.40 2.06 749
31 TRIS PT. Trisula International Tbk 0.18 16.3 28.01 1.33 32.13
32 TRST PT. Trias Sentosa Tbk -0.28 1.9 83.33 0.41 12
33 TSPC PT. Tempo Scan Pacific Tbk -0.12 16.55 45.39 3.81 141 34 UNVR PT. Unilever Indonesia Tbk 0.25 133.2 94.72 48.77 701 35 2014 AISA PT. Tiga Pilar Sejahtera Food Tbk 0.47 10.54 7.69 1.88 110.57
36 AMFG PT. Asahimas Flat Glass Tbk 0.15 15 7.48 1.13 1069
37 ASII PT. Astra International Tbk 0.09 18 32.07 2.50 474
38 AUTO PT. Astra Otopart Tbk 0.15 9.4 46.39 2.00 180
39 CPIN PT. Charoen Pokphand Indonesia Tbk 0.12 0.16 42.99 5.63 107
40 DLTA PT. Delta Jakarta Tbk 0.03 37.54 68 8.21 17647
41 DPNS PT. Duta Pertiwi Nusantara Tbk -0.25 6.16 42.90 0.50 46.62 42 DVLA PT. Darya Varia Laboratoria Tbk -0.23 8.6 47.26 1.99 73 43 EKAD PT. Ekadharma International Tbk 0.32 15.3 15.52 1.34 58
44 GGRM PT. Gudang Garam Tbk 0.45 16.4 28.47 3.52 2810
45 HMSP PT. HM Sampoerna Tbk 0.1 75.4 49.57 32.04 2306
46 ICBP PT. Indofood CBP Sukses Makmur Tbk 0.28 18.8 41.85 5237.56 454 47 IMAS PT. Indomobil Sukes International Tbk -0.18 -2.21 -41.30 1.65 -46 48 INAI PT. Indal Aluminium Industry Tbk -0.42 18.41 11.30 0.91 70.76 49 INDF PT. Indofood Sukses Makmur Tbk 0.02 13.6 31.63 1.47 449
50 INDS PT. Indosping Tbk -0.4 7 51.81 0.58 193
51 INTP PT. Indocement Tunggal Perkasa Tbk 0.25 21.8 62.63 3.47 1437 52 KBLI PT. KMI Wire and Cable Tbk -0.02 7.77 22.22 601.10 18 53 KIAS PT. Keramika Indonesia Assosiasi Tbk -0.05 4 29.96 1.09 5.04
54 KLBF PT. Kalbe Farma Tbk 0.46 21.16 43.10 8.79 44.08
55 MERK PT. Merck Tbk -0.15 33.47 76.86 6.59 8132
56 MLBI PT. Multi Bintang Indonesia Tbk -0.65 142 68.17 1615.45 377
58 ROTI PT. Nippon Indosari Corpindo Tbk 0.36 19.78 8.37 7.35 37.27 59 SCCO PT. Supreme Cable Manufacturing Tbk -0.1 17.01 22.56 1009.82 665 60 SMGR PT. Semen Indonesia (Persero) Tbk 0.14 23.2 43.48 3.84 937
61 SMSM PT. Selamat Sempurna Tbk 0.38 38 46.13 6.09 271
62 SQBB PT. Taisho Pharmaceutical Indonesia Tbk 0.04 45 85.82 8.74 16314
63 TCID PT. Mandom Indonesia Tbk 0.47 14 42.33 2.81 874
64 TOTO PT. Surya Toto Indonesia Tbk -0.48 26.28 40.13 3.50 299 65 TRIS PT. Trisula International Tbk -0.03 11.3 41.54 1.31 22.87
66 TRST PT. Trias Sentosa Tbk 0.52 1.7 45.45 0.61 11
67 TSPC PT. Tempo Scan Pacific Tbk -0.12 14.23 58.14 3.16 129 68 UNVR PT. Unilever Indonesia Tbk 0.24 134.5 91.11 51.92 776 69 2015 AISA PT. Tiga Pilar Sejahtera Food Tbk -0.42 9.42 7.96 0.98 100.49 70 AMFG PT. Asahimas Flat Glass Tbk -0.19 10.1 10.18 0.84 786
71 ASII PT. Astra International Tbk -0.19 12 31.65 1.92 357
72 AUTO PT. Astra Otopart Tbk -0.62 3.2 72.73 0.76 66
73 CPIN PT. Charoen Pokphand Indonesia Tbk -0.31 0.15 16.07 3.39 112 74 DPNS PT. Duta Pertiwi Nusantara Tbk 0.1 4.09 45.32 0.53 33.1 75 DVLA PT. Darya Varia Laboratoria Tbk -0.23 11.1 41.24 1.49 97 76 EKAD PT. Ekadharma International Tbk -0.22 16.11 13.43 0.96 67
77 GGRM PT. Gudang Garam Tbk -0.09 17 23.92 2.78 3345
78 HMSP PT. HM Sampoerna Tbk 0.37 32.4 41.92 18.50 2326
85 KIAS PT. Keramika Indonesia Assosiasi Tbk -0.39 -9 -15.26 0.74 -10.16
86 KLBF PT. Kalbe Farma Tbk -0.28 18.32 44.43 5.66 42.76
87 LION PT. Lion Metal Works Tbk -0.89 10.12 454.55 1.20 88
88 LMSH PT. Lionmesh Prima Tbk -0.91 1.73 500 49.09 20
89 MERK PT. Merck Tbk -0.14 30.1 263.91 6.48 2463
90 MLBI PT. Multi Bintang Indonesia Tbk -0.98 66 58.47 23.78 236
91 MYOR PT. Mayora Indah Tbk 0.46 24 11.73 5.25 1364
92 ROTI PT. Nippon Indosari Corpindo Tbk -0.09 22.76 10.35 5.39 53.45 93 SCCO PT. Supreme Cable Manufacturing Tbk -0.06 17.34 25.87 835.72 773 94 SMGR PT. Semen Indonesia (Persero) Tbk -0.3 17.1 49.26 2.46 762
95 SMSM PT. Selamat Sempurna Tbk 0 32 33.67 4.76 297
96 SQBB PT. Taisho Pharmaceutical Indonesia Tbk 0.07 42 110.12 9.78 14529
97 TCID PT. Mandom Indonesia Tbk -0.06 31.8 14.40 1.93 2708
98 TOTO PT. Surya Toto Indonesia Tbk 0.75 19.12 42.55 4.81 282 99 TRIS PT. Trisula International Tbk -0.07 11.4 44.08 1.14 21.55
100 TRST PT. Trias Sentosa Tbk -0.18 1.3 55.55 0.44 9
Lampiran 3. Hasil Uji Normalitas
One-Sample Kolmogorov-Smirnov Test
Unstandardized
Residual
N 102
Normal Parametersa,b Mean ,0000000
Std. Deviation ,28897895
Most Extreme Differences
Absolute ,069
Positive ,048
Negative -,069
Kolmogorov-Smirnov Z ,697
Asymp. Sig. (2-tailed) ,717
a. Test distribution is Normal.
Coefficientsa
Model Unstandardized
Coefficients
Standardized
Coefficients
t Sig. Collinearity Statistics
B Std.
Error
Beta Tolerance VIF
1
(Constant) .009 .043 .215 .830
ROE .001 .001 .095 1.004 .318 .883 1.132
DPR -.002 .000 -.376 -4.191 .000 .988 1.013
PBV 2.697E-005 .000 .073 .806 .425 .972 1.029
EPS 1.578E-005 .000 .254 2.673 .009 .880 1.136
Lampiran 5. Hasil Uji Heteroskedastisitas
Coefficientsa
Model Unstandardized Coefficients Standardized
Coefficients
t Sig.
B Std. Error Beta
1
(Constant) ,226 ,026 8,736 ,000
ROE ,001 ,001 ,201 1,929 ,057
DPR ,000 ,000 -,121 -1,230 ,222
PBV -1,285E-005 ,000 -,064 -,644 ,521
EPS -6,033E-006 ,000 -,179 -1,714 ,090
Lampiran 6. Hasil Uji Autokorelasi
Model Summaryb
Model R R Square Adjusted R
Square
Std. Error of the
Estimate
Durbin-Watson
1 ,477a ,228 ,196 ,29488 2,137
a. Predictors: (Constant), EPS, DPR, PBV, ROE
Lampiran 7. Hasil Uji Regresi Linier Berganda
Coefficientsa
Model Unstandardized Coefficients Standardized
Coefficients
t Sig.
B Std. Error Beta
1
(Constant) ,009 ,043 ,215 ,830
ROE ,001 ,001 ,095 1,004 ,318
DPR -,002 ,000 -,376 -4,191 ,000
PBV 2,697E-005 ,000 ,073 ,806 ,422
EPS 1,578E-005 ,000 ,254 2,673 ,009
Lampiran 8. Hasil Uji Koefisien Determinassi (Adjusted R2)
Model Summary
Model R R Square Adjusted R
Square
Std. Error of the
Estimate
Durbin-Watson
1 ,477a ,228 ,196 ,29488 2,137
a. Predictors: (Constant), EPS, DPR, PBV, ROE
Lampiran 9. Hasil Uji F
ANOVAa
Model Sum of Squares df Mean Square F Sig.
1
Regression 2,489 4 ,622 7,155 ,000b
Residual 8,434 97 ,087
Total 10,923 101
a. Dependent Variable: RS
Lampiran 10. Uji Statistik t
Coefficientsa
Model Unstandardized Coefficients Standardized
Coefficients
t Sig.
B Std. Error Beta
1
(Constant) ,009 ,043 ,215 ,830
ROE ,001 ,001 ,095 1,004 ,318
DPR -,002 ,000 -,376 -4,191 ,000
PBV 2,697E-005 ,000 ,073 ,806 ,422
EPS 1,578E-005 ,000 ,254 2,673 ,009
