RETURN SAHAM, INFLASI, DAN STRUKTUR KEPEMILIKAN TERHADAP RISIKO INVESTASI
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The economic crisis in Indonesia had an impact on the declining performance of the company’s fundamentals on the stock market. This degradation was caused by a failure in risk management, especially the unsystematic risk. Many companies could not manage their debt policy, investment decision, earnings management, liquidity, and ownership structure that had implications for the risk. The objective of this research was to investigate the effect of stock return, inflation and ownersip stucture to investment risk of manufacturer industries in 2003-2009. Population of this research was manufacturing companies listed in BEI. The sampling method used in this research was purposive sampling and the results were 126 companies based on the criteria of the sample. Polling data method and judgment sampling were used to collect the data and two stage least squares (2 SLS) were as the analysis method. Based on the hypothesis test, it could be summarized that all predictors had a significant effect simultaneously. Result of the 1st model showed that only investment and profitability effect to stock return partially ; 2nd model, SBI, KURS, and M2 had an effect to the inflation partially; 3rd model was only dividend payout ratio and debt to equity ratio effected to ownership structure partially ; 4th model showed that only return variable significantly influenced to investment risk partially.
Key words: stock return, inflation, ownership structure, investment risk