| Summary: | The objective of this research is to analyze the effect of fundamental
factors which consist of abnormal earnings, cash flows components, and
sustainable growth rate on Indonesian banking companies� stock return. The
object of this research are 20 banking companies that is listed in Indonesia Stock
Exchange since year 2006-2011 and actively issued their annual reports during
this period. The analysis used in this research is panel data regression with
random effect approach.
The result of t-test (individual test) confirms that abnormal earnings and
sustainable growth rate have positive effect, while cash flows from investing
activities has negative effect on banking companies� stock return. On the other
side, the result also prove that there isn�t any significant effect of cash flows from
operating activities and cash flows from financing activities on banking
companies� stock return. Nevertheless, the result of F-test proves that all of
fundamental factors affect Indonesian banking companies� stock return
simultaneously.
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