Journal of Entrepreneurship. Management, and Industry (JEMI) Vol. No. 1, . , pp. ANALYSIS OF FINANCIAL PERFORMANCE IMPACT ON EXPECTED RETURN OF LISTED BANK STOCK IN INDONESIA CAPITAL MARKET (PERIOD 2009 Ae 2. Elia Zakchona. Student of Bakrie University . liazakchonahasibuan@yahoo. Dr. Pardomuan Sihombing. Business management Lecturer in Mercubuana University . ardomuan_sihombing@yahoo. Submited Publish : 3 Januari 2019 : 25 Maret 2019 Abstract - This research aims to analyze the relationship between financial performance to expected return in bank sector listed on Indonesian stock exchange (BEI) in 2009 Ae 2017, by partial and simultaneous equation model. The research population was limited to banking sector and researchAos sample was used to sampling based on the total of biggest assets from 11 banks. This research used panel data model with regression analysis on E-views 10 programme to gauge the impact of independent variables (Capital Adequacy Ratio. Non-Performing Loan. Net Interest Margin. Return on Assets. Loan to Deposit Ratio. Debt to Equity Ratio, and Price to Book Valu. to the dependent variable . xpected retur. The results showed that CAR. NPL. NIM. ROA. DER. LDR, and PBV ratios have significant and positive impacts on expected return by simultaneous equation model. In partial equation model. CAR. NPL. NIM, and ROA ratios have not significant and have positive impacts on expected return. DERAos ratio has significant and positive impact on expected return. LDR and PBV ratios have significant and negative impacts on expected return. Keywords: Financial performance. Expected return Abstrak - Penelitian ini bertujuan untuk menganalisis pengaruh kinerja keuangan terhadap return saham perbankan yang terdaftar di Bursa Efek Indonesia (BEI) pada periode tahun 2009 sampai dengan tahun 2017. Sampel penelitian menggunakan metode purposive sampling dan diperoleh 11 . saham bank dengan batasan jumlah aset terbesar dan terdaftar di BEI pada tahun 2016. Penelitian menggunakan metode regresi data panel dengan program Eviews 10. Hasil penelitian secara simultan menyatakan rasio Ae rasio CAR. NPL. NIM. ROA. LDR. DER, dan PBV berpengaruh secara signifikan dengan arah yang positif terhadap return saham perbankan. Sedangkan hasil penelitian secara parsial, rasio Ae rasio CAR. NPL. NIM, dan ROA tidak berpengaruh signifikan dengan arah yang positif terhadap return saham perbankan. Rasio DER berpengaruh dengan arah yang positif terhadap return saham Rasio Ae rasio LDR dan PBV berpengaruh signifikan dengan arah yang negatif terhadap return saham Kata kunci: Kinerja keuangan. Return saham Bank of Indonesia suppressed high inflation rate by monetary policy. As a boom country, indonesian monetary policy was applied by increasing interest rate from 5,75% until 7,75%. High interest rate has two opposite functions which are to hold off capital outflow but to create investment risk (Investment, 2. High interest rate will attract businesses to deposit their money in Indonesian banks and decrease US Dollar demands. Their deposit will help government to stabilize its savings, increase society consumption, and stimulate economic growth (Halim, 2. Introduction IndonesiaAos economic growth has moved slowly since 2011 (Investment, 2. This has arisen from global sentiment to influence Rupiah exchange rate and other macroeconomic parameters, such as inflation rate, interest rate, and GDP (Halim, 2. Rupiah depreciation will impact IndonesiaAos economy, including resulting capital outflow, increase of country and companyAos liabilities, and of consumption prices. Between 2013 and 2014, inflation rate has increased, an event triggered by oil subvention price. Journal of Entrepreneurship. Management, and Industry (JEMI) Vol. No. 1, . , pp. Jakarta Composite Index (JCI) movement reflects investor behavior in investment decision, and also shows how capital flows and invests in Indonesia macroeconomic situation (Hadi, 2. In 2014. Jakarta Composite Index (JCI) performance according to The Fed policy impact. The Fed applied tappering-off policy as a solution for US capital market, represented by reducing quantitative easing stimulation in the capital market (Makroprudensial, 2. research showed that it had no impact on the expected PBV formula is: Stock performance movement is influenced by financial performance, that is by capital adequacy, asset quality, profitability, liquidity, and leverage ratios. One of capital adequacy ratio is described by Capital Adequacy Ratio (CAR). CAR function is to fund operational business and Each of banks should have 8% of capital adequacy ratio minimum (Taswan, 2. Based on Khadaffi, et. and Setyarini, et. research showed that CAR had an impact on the expected return, while Kurniadi . Muhammad . Petria, et. , dan Dewi . research results showed that CAR had no impact on the expected return. CAR formula is: In Indonesia capital market, the biggest stock trade portion is dominated by bank stocks. They have influenced Jakarta Composite Index (JCI) movement and have become one of JCI indicators. Banking company is traded by financial and stock markets. In stock market, banking is divided into two products - stock and obligations. This figure will describe how bank expected return influence Jakarta Composite Index (JCI) from 2009 until 2017. CAR = One of aset quality ratio is described by NonPerforming Loan (NPL). NPL ratio shows how company controls and minimizes bad credit ratio. Bad credit ratio can decrease profit (Taswan, 2. Khadaffi, et. and Ayem, et. research showed that NPL had an impact on the expected return, while Ayuadinda, et. research showed that NPL had no impact on the expected NPL formula is: Figure 1 Bank Expected Return Movement in Indonesia Capital Market In 2014, bank stock decreased significantly because investors decided to take their capital out from Indonesian capital market. Capital outflow had an impact in raising yield price on Indonesia secutirities (SBN). SBN price movement also had negative impact to portfolio imvestment in bank sector (Makroprudensial, 2. Another influence sentiment came from investors phsycology to influence their decision to sell their stock and get profit taking while bank financial performance increased (Syafina, 2. Good financial performance will create capital market in saturated condition, but also decrease bank stock price (Sukirno, 2. NPL = Kredit bermasalah Total Kredit a. Profitability ratio is described by Net Interest Margin (NIM) and Return on Asset (ROA). NIM ratio shows how the company ability increased profit by net interest. Net interest is produced by deposito, credit, stock, obligation interests(Rivai, dkk, 2. Based on Kurniadi . research result showed that NIM had an impact on expected return, while Syauta, et. research result showed that NIM had no impact on the expected return. ROA formula is: NIM = Literature Review and Hypothesis Interest Income - Interest Expense Earning Assets a. ROA ratio shows how can asset produce net interest from consumer (Rivai, dkk, 2. Based on Ayem, et. research result showed that ROA had impact on expected return, while Wahyuni, et. research result showed that ROA had no impact on the expected return. ROA formula is: Literature Review Expected return is divided by dividend share and capital Expected return formula is: CV = Modal ATMR Dt (Pt - Pt-1 ) Pt-1 a. ROA = One of stock performance is described by Price to Book Value (PBV). PBV describes how stock price is overvalued or undervalued, which investor will use as an investment decision to get expected return (Bodie, 2. Based on Rudi . and Purnamaningsih, et. research showed that PBV had an impact on expected return, while Methy Laba sebelum pajak Rata - rata total aset a. One of liquidity ratio is analyzed by Loan to Deposit Ratio (LDR). LDR shows the company ability to increase profit by transfered deposits to loans. If a bank has low total liquidity, then it would impact negatively during a liquidity crisis and would be too risky for investment and expected Journal of Entrepreneurship. Management, and Industry (JEMI) Vol. No. 1, . , pp. When bank has a high LDR, then it would impact high liability (Latumaerissa, 1. Based on Kurniadi . research showed that LDR had impact on the expected return, while Dewi . research showed that LDR had no impact on the expected return. LDR formula is: LDR = Empirical Methods Operational Data The research uses explanatory or confirmatory to prove literature review and previous research have valid hypothesis. Samples were analyzed by multiple regression using data panel approach. Data panel approach has time-series and cross-section (Nachrowi, dkk, 2. Time-series use annual financial report and annual stock price from 2009 until 2017. Cross-section uses 11 bank samples which limited to the biggest total asset and listed in Indonesia stock market in Kredit yang diberikan Dana pihak ketiga a. Leverage is described by Debt to Equity ratio (DER). DER shows how the company is funded by the total debt rather than by the total equity. If company had high debt total, then it would impact to companie value and stock price (Rivai, dkk, 2. Based on Purwitajati, et. research showed that DER had an impact on expected return, while Siburian, et. research showed that DER had no impact on the expected return. DER formula is: PBV = Table 1 Bank Stock Samples Nilai pasar dari ekuitas Nilai buku dari ekuitas a. Hypothesis Emiten PT. Bank Mandiri Sekuritas Tbk PT. Bank Rakyat Indonesia Tbk PT. Bank Central Asia Tbk PT. Bank Negara Indonesia Tbk PT. CIMB Niaga Tbk PT. Bank Tabungan Negara Tbk PT. Pan Indonesia Tbk PT. Danamon Indonesia Tbk PT. Maybank Indonesia Tbk PT. Bank Permata Tbk PT. OCBC NISP Tbk StockCode Asset Total BMRI 1,038,706 BBRI 1,003,644 BBCA 676,739 BBNI 603,032 BNGA 241,572 BBTN 214,168 PNBN 199,175 BDMN 174,087 BNII 166,679 BNLI 165,528 NISP 138,196 Data Analysis Data analysis is executed to make sure that multiple regression procedure has Best Linear Unbiased Estimator (BLUE). In multiple regression, data must be checked using autocorrelation tests (Qudratullah, 2. Normality test Normality test is used to determine if a data set is wellmodeled by a normal distribution and to compute how likely it is for a random variable underlying the data set to be normally distributed. One of normality test is JarqueBera test. Figure 2 Analytical Thinking Framework Multiple regression equation is: Yit = a b1X1it b2 X2it b3X3it b4 X4it b5X5it b6 X6it b7X7it eit . C H1: CAR has significant and positive impacts to expected return C H2: NPL has significant and negative impacts to expected return C H3: NIM has significant and positive impacts to expected C H4: ROA has significant and positive impacts to expected return C H5: LDR has significant and negative impacts to expected return C H6: DER has significant and positive impacts to expected C H7: PBV has significant and positive impacts to expected C H8: CAR. NPL. NIM. ROA. LDR. DER. PBV have significant and positive impacts to expected return. - Multicollinearity test Multicolinearity test is used to detect multicolinearity disruption on data. Multicolinearity showed that one of X variable has linier relationship with others (Qudratullah. Autocorrelation test Autocorrelate is the correlation of a signal with a delayed copy of itself as a function of delay. Informally, it is the similarity between observations as a function of the time lag between them. Autocorrelate on data will impat to OLS estimator which is not BLUE, significant test was weak. F-test result is not valid. One of autocorrelate test is durbin watson test (Nachrowi, dkk, 2. Journal of Entrepreneurship. Management, and Industry (JEMI) Vol. No. 1, . , pp. - Determination coefficient test (R. - is the ratio of the departure of the estimated value of a parameter from its hyphotesis value to its standard error. Determination coefficient also showed how x variables contributed Y variables (Supangat, 2. Parameter estimation on panel data model is divided by two methods - ordinary least square (OLS) and generalized least square (GLS). Metode Ordinary Least Square (OLS) Ordinary least square is divided by 2 models, such as: common effect and fixed effect approachs. Common effect approach is a panel data model that ignored heterogeneity between cross-section and time-series units. Common effect approach explained that cross-section unit are same in the various periods of time. Fixed effect approach is a data panel model that used dummy variable to get unbiased estimator and consistent on data (Nachrowi, dkk, 2. - T- test T-test is the ratio of the departure of the estimated value of a parameter from its hyphotesis value to its standard error (Nachrowi, dkk, 2. - F- test F test is a test in which the test statistic has an Fdistribution under the null hypothesis. It is most often used when comparing statistical models that have been fitted to a data set, in order to identify the model that best fits the population from which the data were sampled. a financial analyst, the function is useful in risk F and t statistics requirement are: Metode Generalized Least Square (GLS) Random effect approach used generalized least square It has individual and time characteristics differentiation which is accommodated by error model. Error model is parsed by individual error, time error, and combinated error (Nachrowi, dkk, 2. If sig value<0. 05 or thitung > ttabel, then H1 will accept If sig valu>0. 05 or thitung A, so H0 accepts or data distributes normal. The result show that Return. CAR, and PBV data distribute normal while NPL. NIM. ROA. LDR, and DER data doesnAot distribute normally - Multicolinearity test Table 2 Multicolinearity Test Variance Inflation Factors Date: 11/07/18 Time: 02:01 Sample: 1 99 Included observations: 99 Coefficient Variable Variance CAR NPL NIM ROA DER LDR PBV Centered VIF Multicollinearity statistical shows that VIF value < 10, so H0 accepts or data has no multicollinearity disruption. - Heteroscedasticity test Tabel 3 White Test Heteroskedasticity Test: White Null hypothesis: homokedasticity F-statistic 064439 Prob. F . Obs*R-squared 78887 Prob. Chi-Square . Scaled explained SS 26115 Prob. Chi-Square . Chow statistical shows that . rob>chi. >A or 0. 3860>0. 05, so H0 accepts or data has no heteroscedasticity disruption. Autocorrelation test Figure 4 Autocorrelation Graph on Sample Data Journal of Entrepreneurship. Management, and Industry (JEMI) Vol. No. 1, . , pp. These graphs show that CAR. NPL. NIM. ROA. LDR. DER, and PBV data formed random pattern on expected return. So, these explain that each of independent variable to dependent variable are not correlate, and they canAot predict by Based on durbin watson test is: DW . urbin-watso. = 2. du = 1. 9243 = 4 Ae 1. 9243 = 2. dl = 1. 4350 = 4 - 1. 4350 = 2,565 The result shows that data has no autocorellate disruption by 4-du < DW < 4-du or 2. 075 < 2. 10993 < 2. Panel Data Test Panel data model is divided by two method Ae ordinary least and generalized least squares. Ordinary least square method is common effect and fixed effect approachs while generalized least square method is random effect approach. Chow test used to determine the best model between common effect or fixed effect approachs. Table 4 Chow Test Redundant Fixed Effects tests Equation: Untitled Test cross-section fixed effects Effects Test Statistic Cross-section F Cross-section Chisquare Prob. LM statistical shows that . rob>chi. > A atau 0. 1447 > 0. 05, so H0 or common effect approach accepts. Then LM test used to determine the best model between common effect or random effect approachs. Table 5 Lagrange Multiplier (LM) Test Lagrange Multiplier Tests for Random Effects Null hypotheses: No effects Alternative hypotheses: Two-sided (Breusch-Paga. and one-sided . ll other. alternatives Test Hypothesis Cross-section Time Both Breusch-Pagan . Honda . King-Wu . Standardized Honda . Standardized King-Wu . Gourieroux, et. --4. LM statistical test shows that . rob>F)>Aor 0. 1602>0. 05, so H0 or common effect approach accepts as panel data model. Hypothesis Test Table 6 Multiple Regression Analysis Based on Common Effect Approach Dependent Variable: RETURN Method: Pooled Least Squares Date: 10/08/18 Time: 12:31 Sample: 1 9 Included observations: 9 Cross-sections included: 11 Total pool . observations: 99 Variable Coefficient Std. Error t-Statistic Prob. CAR NPL NIM ROA LDR Journal of Entrepreneurship. Management, and Industry (JEMI) Vol. No. 1, . , pp. DER PBV R-squared Adjusted R-squared of regression Sum squared resid Log likelihood F-statistic Prob (F-statisti. Mean dependent var dependent var Akaike info criterion Schwarz criterion Hannah-Quinn criter. Durbin-Watson stat Multiple regression equation Coefficient values explained that each of independent value depreciation or increation will impact on expected return value. Yit = a b1X1it b2 X2it b3X3it b4 X4it b5X5it b6 X6it b7 X7it eit Y = 5. 211101 X1 0. 518088 X2 0. 400364 X3 0. 672696X4Ae0. 135395X6 0. 004743X5Ae0. 014712X7 Auit - If coefficient value on CAR as much as 0. 211101, then it would increase expected return - If coefficient value on NPL as much as 0. 518088, then it would increase expected return - If coefficient value on NIM as much as 0. 400364, then it would increase expected return - If coefficient value on ROA as much as 0. 672696, then it would increase expected return - If coefficient value on LDR as much as 0. 135395, then it would deccrease expected return - If coefficient value on DER as much as 0. 004743, then it would increase expected return - If coefficient value on PBV as much as 0. 014712, then it would decrease expected return Year Average A Table 7 Determination Coefficient Result CAR NPL NIM ROA LDR DER PBV Return Determination coefficient result . dj R-square. Adj. R-squared value as much as 0. 307658 indicates that CAR. NPL. NIM. ROA. LDR. DER, and PBV variables explain expected return as much as 30,7658% while other variables of out of research will impact on it as much as 69,2342%. T-test hypothesis Variable CAR NPL NIM ROA LDR DER PBV Table 8 t-test Hypothesis t-test Hypothesis CAR has no significant and has positive impacts on expected return 0,668 > 0,05 or 1,854953 < 1,98667 0,2977 > 0,05 or 1,047376 < 1,98667 NPL has no significant and has positive impacts on expected return 0,0553 > 0,05 or 1,1941757 < 1,98667 NIM has no significant and has positive impacts on expected return 0,0594 > 0,05 or 1,909284 < 1,98667 ROA has no significant and has positive impacts on expected return 0,0001 < 0,05 or -4. 248695 > 1,98667 LDR has significant and negative impacts on expected return DER has significant and positive impacts on expected return 0,0001<0,05 or 4,020011 > 1,98667 0,0009 < 0,05 or -3. 444814 > 1,98667 PBV has significant and negative impacts on expected return F-test hypothesis F test requirement is 0. 000015 < 0. 05 or 5. 776853 > 2. 04, so H1 or CAR. NPL. NIM. ROA. LDR. DER, dan PBV variables have significant and positive impacts to expected return by simoultaneous. much as 11,3% showed that one of bank samples to increase NIM ratio during the research period is lower than NIM ratio during financial crisis on 2008. It shows that banks had increased NIM ratio on financial crisis 2008. NIM ratio during the research period as same as NIM ratio during 2014 and 2015. It explains that NIM ratio on 2014 did not influence expected return decreasing on 2014. Bank companies also did not increase NIM ratio on 2015 to get more expected return. Bank samples have product differentiation and becomes their business focused. NIM ratio is main business focuse but one of business focused indicator to increase profit. Profit increasing does not describe expected return. Shareholder and investor analyzed NIM as investment decision but did not describe expected This research proves Syauta, et. research result that explained NIM had not significant impact on expected return. 2 Discussion C Capital Adequacy Ratio (CAR) Has No Impact on Expected return Descriptive analysis explains that CAR average, minimum, and maximum ratios are bigger than the central bank requirements. Capital adequacy function is to protect bank business from financial crisis effect and banckruptcy. Based on financial crisis on 2008 where on one of private banks went bankrupt, provoking consumers to take their savings or bank rush. Consumer had traumatic experience when financial crisis on 1998 occurred and bank could not pay back consumer savings. Since this case, central bank enforced each of banks to have capital adequate capital Capital adequacy protected bank samples from systematic and unsystematic risks during the research Shareholder and investor analyzed CAR as investment decision but did not describe expected return. This research verifies Kurniadi . Muhammad . Petria, et. , and Dewi . research results that explained CAR had not significant impact on expected C Descriptive analysis explains that ROA minimum ratio as much as - 4,9% which one of bank sampels had profit drastically decreased. ROA maximum ratio as much as 11,3% showed that one of bank samples has highest profit by efficiency. ROA ratio during the research period is higher than ROA ratio during financial crisis on 2008. It shows that bank samples had been increased ROA ratio every year. ROA ratio during the research period as same as ROA ratio during 2014 and 2015. It explains that ROA ratio didnAot influence expected return decreasing on 2014. Bank samples also did not increase ROA ratio on 2015 to get more expected return. Non-Performing Loan (NPL) Has No Impact on Expected return Descriptive analysis explains that NPL maximum ratio as much as 3,1% showed that one of bank samples had NPL NPL ratio during the research period is lower than NPL ratio during financial crisis on 2008. It showed that central bank can control NPL ratio and minimize credit risk. It shows that bank samples had been decreased NPL ratio every year. NPL ratio during the research period as same as NIM ratio during 2014 and 2015 which it did not influence expected return decreasing before and after 2014. Financial performance automatically impact to stock price and expected return. Shareholder and investor will invest in the bank company which can make big profit. Bank samples have product differentiation and becomes their business focused. ROA ratio is main business focuse but one of business focused indicator to increase profit. Profit increasing doesnt describe expected return. Shareholder and investor analyzed NPL as investment decision but did not describe expected return. This research verifies Wahyuni, al . research results that explained ROA had not significant impact on expected return. Bad credit quality has opposite functions which can reduce financial performance but can increase profit. Back to financial crisis on 1998 history which the central bank did not have strong regulation and did not supervise banks well. Banks could not control NPL ratio where it provoked liquidity crisis and banckrupcty. Another function is based on credit phenomenon which NPL ratio had good impact to increase profit. Consumers propose credit agreement Bank companies will approve it even some of consumer requirement is not qualified. If consumers did not pay their liabilities, then bank companies would take consumers assets as consequency. Consumer asset will add company bank profits automatically. Shareholder and investor analyzed NPL as investment decision but did not describe expected return. This research verifies Auadinda, et. research results that explained NPL had not significant impact on expected return. Return On Assets (ROA) Has No Impact on Expected return Loan to Deposit Ratio (LDR) Has Impact on Expected return Descriptive analysis explains that LDR minimum ratio as much as 50,3% which showed some of bank were not focus on credit distribution. Bank samples chose to invest consumer deposits on other products. LDR maximum ratio as much as 108,8% showed that one of bank samples has highest LDR and put it as risk. This bank used LDR as main focus business. LDR ratio during the research period is higher than LDR ratio during financial crisis on 2008. showed that bank samples had been increased LDR ratio every year. LDR ratio during the research period is higher than LDR ratio during 2014 and 2015. It explains that bank Net Interest Margin (NIM) Has No Impact on Expected return Descriptive analysis result explains that NIM minimum ratio as much as 3,06% which it showed how one of bank sampels ability to increase profit. NIM maximum ratio as Journal of Entrepreneurship. Management, and Industry (JEMI) Vol. No. 1, . , pp. companies increased LDR to get more profit and expected value is known as overvaluation. This stock was good to invest in long term. PBV ratio during the research period is lower than PBV ratio during financial crisis on 2008. shows that bank samples were increasing PBV ratio every PBV ratio during the research period is higher than PBV ratio during 2014 and 2015. It explains that bank stock value was lower than book value. Investors decided to sell their stocks and avoid income loss. Stock price decreasing impacted to expected return decreasing. Loan to deposit ratio showed how big deposit transferred to loan. Bank management will increase profit by deposit and loan interests. High LDR showed that consumers put company trust to use bank products. So, brand image on bank company is important to attract Based on finansial crisis on 1998, central bank had not strong regulation, then it impacted to bank liquidity crisis and banckruptcy. As same as financial crisis on 2008 where sample banks were impacted by crisis of a private Consumers took out their money because they thought it would impact to other banks. High LDR can increase profit but also create liquidity risk. If bank management couldnAot analyze and control LDR, then it would provoke crisis liquidity. Shareholder and investor analyzed LDR as investment decision and to get expected return. This research verifies Kurniadi . research result that explained LDR had significant impact on expected return. For information, global sentiment will impact to Indonesia macroenomic, example: Rupiah currency Shareholder and investor decide to take out their money and decide to invest in the other country or save them until Indonesia macroecomic becomes stabil. shareholder and investor, stock price movement used as investment decision to get expected return. This research verifies Rudianto . , and Purnamaningsih, et. research results that explained how PBV had significant impact on expected return. Debt to Equity Ratio (DER) Has Impact on Expected Return Descriptive analysis explains that DER maximum ratio as much as 12x showed that one of bank samples to increase DER ratio during the research period is lower than DER ratio during financial crisis on 2008. It shows that bank samples had been decreased DER ratio every year. DER ratio during the research period is higher than DER ratio during 2014 and 2015. It explains that DER ratio on 2014 influenced expected return decreasing on 2014. Bank companies also decreased DER ratio on 2015 to attract High DER showed that liabilities are bigger than capital on bank funding. A company which trade its stock in capital market will risk to stock price and expected return. Financial crisis on 1998 has affected bank samples financial performance because central bank regulation was not strong enough to control bank samples. Financial crisis on 2008 had attacked bank samples financial performance because one of bank sample was banckrupt. By contagion, consumers untrusted other banks and took their money out, thus provoking bank rush. On financial crisis 1998 was so complicated because each of bank did not have strong financial and pushed government to intervene them. Most of bank funds is formed by third party. For bank, brand image is important to attract third party . to use its Banking is known as business use high liabilities rather than other business. Shareholder and investor analyzed DER as investment risk while market crisis attacks. Research hypothesis is consistently proven that DER has impact to expected return. Shareholder and investor put DER as investment risk, so they should be careful to invest their capital on bank stock. High DER will decrease dividend share, because bank companies will be focus to pay its liabilities rather than dividend. High DER also will decrease capital gain where macroeconomics movement intervene Indonesia capital market. Shareholder and investor analyzed DER as investment decision and to get expected This research verifies Purwitajati, et. research result that explained DER had significant impact on expected return. CAR. NPL. NIM. ROA. LDR. DER, and PBV Have Impact on Expected return Financial performance will impact to stock performance which is described by PBV. PBV will recognize a stock value based on stock value to book value. PBV ratio is formed by investor pschylogist. To shareholder and investor, financial and stock performances will impact to investment decision and to get the expected return. This research verifies Kurniadi . Muhammad . Petria, et. , and Dewi . research was true which CAR. NPL. NIM. ROA, and LDR had significant impacts to expected return. It proves Purwitajati, et. research result that explained DER had significant impact on expected return. Then it also proves Rudianto . , and Purnamaningsih, et. research results that explained PBV had significant impact on expected return. Price to Book value (PBV) Has Impact on Expected Descriptive analysis explains that PBV minimum ratio as much as - 1,8x which it showed that one of bank sampels stock value was under book value. This stock value is known as undervaluation. For this case, undervaluation condition on bank stock was not good to invest in long term. PBV maximum ratio as much as 4,6x showed that one of bank samples stock value was over book value. This stock Conclusion and Suggestion Conclusion C Capital Adequacy ratio (CAR) has no impact on Expected return Journal of Entrepreneurship. Management, and Industry (JEMI) Vol. No. 1, . , pp. Bank capital adequacy became mainly reason to analyzed bank stock value. CAR requirement had been used to protect bank companies from external pressure, such as: finansial crisis or bank rush. Shareholder and investor analyzed CAR as investment decision, but did not describe expected return. High DER shows liability is bigger than equity. High DER will decrease dividend share. If market crisis attacks Indonesia economic, then it would impact to expected return decreasing and banckrupcty. To shareholders, high DER will increase bank liabilities and reduce dividend share. investors, high DER will decrease stock price and reduce capital gain. High liabilities become investment risk when market crisis attack and will provoke banckrupcty. So, shareholder and investor analyzed DER as investment decision and describe expected return. Non-Performing Loan (NPL) has no impact on Expected Return Credit quality has opposite functions in bank sector which will create good and bad financial performance. When bank companies could not control NPL ratio, then it would provoke banckrupcty. Indonesian banks had high NPL ratio and could not fix it when financial crisis on 1998 Government decided to help these banks by liquidated and merged them. Another function is based on credit phenomenon which NPL ratio had good impact to increase profit. When consumers propose credit aggreement. Banks will accept their proposal even they are not qualified. If consumers could not pay their liabilities, then bank companies would take consumer assets and use it as profit. Shareholder and investor analyzed NPL as investment decision but did not describe expected return. Net Interest Margin (NIM) has no impact on Expected C Suggestion Based on determination coefficient result which CAR. NPL. NIM. ROA. LDR. DER, and PBV have impacted to expected return as much as 30,7658%. So, the researcher hopes other researcher will develop and prove that more variables can give contribution on expected return. Loan to Deposit Ratio (LDR) has impact on Expected LDR described how big consumer deposits distribute to consumer loans. LDR has opposite functions which it increases profit but also increases liquidity risk. Based on bank stock history, liquidity crisis was a big problem for shareholder and investor. If market crisis attacked Indonesia economic, and it would impact to bank rush and liquidity. To shareholder, it will impact to dividend share decreasing and banckruptcy. To investor, it will impact to stock price and capital gain decreasing. Shareholder and investor analyzed LDR as investment decision and describe expected CAR. NPL. NIM. ROA. LDR. DER, and PBV have impact to Expected return Financial performance is showed by CAR. NPL. NIM. ROA. LDR, and DER. These ratios are indicator tools to recognize quality of company stocks. Financial performance will impact to stock performance which is described by PBV Shareholder and investor analyzed and used financial and stock performances as investment decision and get expected return. Return On Assets (ROA) has no impact on Expected ROA is known as efficiency ratio. ROA described how bank management increases profit by asset management or Eficiency is one of bank business focuse. High ROA will increase profit and help company to expand its In this research. ROA growth does not impact to expected return. Shareholder and investor analyzed ROA as investment decision but did not describe expected return. Price to Book Value (PBV) has impact on Expected PBV ratio describes comparation between stock value to book value. High PBV describes stock value position in Low PBV describes stock value position in PBV movement is influenced by financial performance and market crisis. Good financial performance will give positive sentiment in capital market. Investor will buy and sell its stock to get more capital gain while shareholder will get more devidend share. Market crisis will impact to stock price and expected return. For this case, investors will take their capital out from Indonesia and will impact to the dividend share decreasing. Investor analyzed and used PBV as investment decision and to get expected Banks has a lot of products and business focuses. One of the main focus business is interest income. Each of product will be charged to interest rate. In this research. NIM ratio growth does not impact to expected return. Shareholder and investor analyzed NIM as investment decision but did not describe expected return. Debt to Equity Ratio (DER) has impact on Expected DAFTAR PUSTAKA