Aim of this research was to find out effect of systematic and unsystematic risks on expected return of manufacture company share at the Indonesia Stock Exchange. The submitted hypothesis was that systematic and unsystematic risks had an effect on expected return of manufacture company share at the Indonesia Stock Exchange. Analysis tool used was multiple linear regression by F test and t test. It was used 9 samples of companies registered in the Indonesia Stock Exchange and including in LQ Indices 45 in 2014. From the calculation result of multiple linear regression analysis, it was obtained the following equation : Y =-0,054 + 0,005 X1 + 0,772 X2.It was obtained from F test result that F calculation = 7, 449. Using significance level of 95 percen. Thus F calculation (1,803) < F, means that there was not a significant effect of systematic risk and unsystematic risk collectively on expected return. Using significance level of 95 percent was obtained t table was 2, 1009. It was obtained from t test result that t calculation of systematic risk (tX1) = 0,295 and t calculation of unsystematic risk (tX2) = 3,193 Thus t calculation of systematic risk was little that t table, whereans t calculation of unsystematic risk was little than t table so that partially systematic risk (X1) and unsystematic risk (X2) had not significant effect on expected return (Y). Keyword : Systematic risk; unsystematic risk; expected return. Abstrak Tujuan penelitian ini adalah untuk mengetahui pengaruh risiko sistematis dan tidak sistematis terhadap ekspektasi return saham perusahaan manufaktur di Bursa Efek Indonesia. Hipotesis yang diajukan adalah bahwa risiko sistematis dan tidak sistematik berpengaruh terhadap return yang diharapkan dari saham perusahaan manufaktur di Bursa Efek Indonesia. Alat analisis yang digunakan adalah regresi linier berganda dengan uji F dan uji t. Digunakan 9 sampel perusahaan yang terdaftar di Bursa Efek Indonesia dan termasuk dalam Indeks LQ 45 pada tahun 2014. Dari hasil perhitungan analisis regresi linier berganda, diperoleh persamaan sebagai berikut: Y =-0.054 + 0,005 X1 + 0,772 X2. Persamaan diperoleh dari hasil uji F dimana F hitung = 7, 449 dengan tingkat signifikansi 95 persen. Dengan demikian F hitung (1,803) < F, berarti tidak ada pengaruh yang signifikan dari risiko sistematis dan risiko tidak sistematis secara kolektif terhadap return yang diharapkan. Dengan menggunakan taraf signifikansi 95 persen diperoleh t tabel adalah 2,1009. Hal ini diperoleh dari hasil uji t bahwa t hitung risiko sistematis (tX1) = 0,295 dan t hitung risiko tidak sistematis (tX2) = 3,193. Dengan demikian t hitung risiko sistematis lebih kecil dari pada t tabel, sehinggasebagian risiko sistematis (X1) dan risiko tidak sistematis (X2) tidak berpengaruh signifikan terhadap return yang diharapkan (Y).
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