ABSTRACK

Information from fundamental factor is one of necessary information used by investors to make important investment decisions in the capital market. In the efficient market hypothesis, all public information is reflected in stock price unbiasedly. One of this information is information from fundamental factor. This study investigated the impact of fundamental variables change on stock price returns from company in the manufacturer industry. The sample comprised 10 pooled companies from manufacturer industry listed on the Bursa Efek Jakarta (BEJ) for the period of 2000-2005. The statistical method used in this research is multiple linier regression. T-test determined on the 5% significance level. The statistical results indicated that from 9 fundamental variables studied, only current ratio, DER, inflasi, and kurs which significantly impacted on stock price returns. However, this result also showed that the impact of fundamental variables change on stock price returns is only 44.3%. It means that the information from fundamental factor is not the only factor that influenced stock prices in the BEJ. In general, some of the results reported in this paper are consistent with the findings of previous studies. Keywords: Stock return, current ratio, DER, inflation, kurs.