DETERMINAN RISK PREMIUM PADA SAHAM NON-BANKING & FINANCE LQ45

Abstract This study aims to analyze the effect of debt to equity ratio (DER), stock volatility, and interest rates on the risk premium of non-bank and non-financial sector stocks listed in the LQ45 index of the Indonesia Stock Exchange during the period 2015–2024. Risk premium refers to the additional return demanded by investors for undertaking higher risk compared to the risk-free rate. This research employs a quantitative approach using panel data regression analysis with the fixed effect model (FEM), processed using EViews software. The results show that simultaneously, DER, stock volatility, and interest rates significantly affect the risk premium. Partially, DER and interest rates have a significantly negative effect on the risk premium, while stock volatility has no significant effect. These findings highlight the importance of considering both company financial factors and macroeconomic indicators in investment decision-making. Keywords: Risk Premium, Debt to Equity Ratio, Stock Volatility, Interest Rate, LQ45