Likuiditas, Leverage, Profitabilitas, Penilaian Pasar, Firm Size dan Return Saham
Abstract
The research aims to obtain empirical evidence of the effect of financial ratios and firm size on stock returns. The research was conducted on consumer goods sector companies listed on the Indonesia Stock Exchange for the 2018-2020 period. Determination of the sample using nonprobability sampling with purposive sampling. The samples used were 24 companies. The total observation data for the 2018-2020 period is 72 observational data. Methods of data collection using non-participant observation. The analysis technique uses multiple linear regression analysis. Based on the results of the study, it shows that the liquidity ratio has a negative and significant effect, the leverage ratio has a negative and significant effect, the profitability ratio has a negative but not significant effect, the market appraisal ratio has a negative and significant effect, and firm size has a negative but not significant effect on stock returns
Keywords : Stock Seturns, Liquidity, Leverage, Profitability, Market Valuation
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References
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Fahmi, I. (2020). Analisis Laporan Keuangan. Alfabeta.
Helia, S., Putra, E. E., & Hidayati, H. (2020). Firm Size and Price Book Value Impact on Stock Return : Evidence from the Indonesian Stock Exchange. Budapest International Research and Critics Institute-Journal (BIRCI-Journal), Volume 3(3), 2567a-2567i. www.bircu-journal.com/index.php/birci
Hery. (2018). Analisis Laporan Keuangan. PT Grasindo.
Kusumah, R. W. R., Ramdhani, C., & Aryanti, D. (2021). The influence of company growth and company value on stock returns. Psychology and Education Journal, 58(3), 434–439.
Lesmana, H., Erawati, W., Mubarok, H., & Suryanti, E. (2021). Pengaruh Likuiditas dan Ukuran Perusahaan terhadap Return Saham pada Perusahaan Manufaktur Sub Sektor Makanan dan Minuman. Moneter - Jurnal Akuntansi Dan Keuangan, 8(1), 25–31. https://doi.org/10.31294/moneter.v8i1.9077
Lucita, S. D., & Mulyana, B. (2021). The Influence of Liquidity, Profitability, Solvency, and Sales Growth on Stock Returns and its Implications on the Corporate Value (Study on Food and Beverage Issuers Year 2015-2019). International Journal for Research in Applied Science and Engineering Technology, 9(1), 732–741. https://doi.org/10.22214/ijraset.2021.32899
Maramis, A., Norisanti, N., & Komariah, K. (2021). Analisis Pengaruh Firm Size dan Sales Growth terhadap Return Saham. COSTING : Journal of Economic, Business and Accounting, 5(1), 542–549. https://doi.org/https://doi.org/10.31539/costing.v5i1.2418
Mudzakar, M. K., & Wardanny, I. P. (2021). The Effect Of Return On Asset , Return On Equity , Earning Per Share , And Price Earning Ratio Toward Stock Return ( Empirical Study Of Transportation ). Turkish Journal of Computer and Mathematics Education, 12(8), 387–392. https://doi.org/https://doi.org/10.17762/turcomat.v12i8.2812
Myers, S. C. (1984). The Capital Structure Puzzle. The Journal of FINANCE, XXXIX(3), 575–592.
Nurdin, M., & Hastuti, R. T. (2020). Pengaruh Leverage Profitabilitas Likuiditas Dan Ukuran Perusahaan Terhadap Returnsaham Perusahaan Manufaktur. Jurnal Multiparadigma Akuntansi Tarumanagara, 2(3), 1067–1075. https://doi.org/http://dx.doi.org/10.24912/jpa.v2i3.9532
Nurhikmawaty, D., Isnurhadi, & Widiyanti, M. (2020). The Effect of Debt to Equity Ratio and Return on Equity on Stock Return with Dividend Policy as Intervening Variables in Subsectors Property and Real Estate on Bei. International Journal of Multicultural and Multireligious Understanding, 7(7), 255–267. https://doi.org/10.4236/ojbm.2020.85131
Nursita, M. (2021). Pengaruh Laba Akuntansi, Arus Kas Operasi, Arus Kas Investasi, Arus Kas Pendanaan, Dan Ukuran Perusahaan Terhadap Return Saham. Going Concern : Jurnal Riset Akuntansi, 16(1), 1–15. https://doi.org/10.32400/gc.16.1.32435.2021
Parawansa, D. S., Rahayu, M., & Sari, B. (2019). Pengaruh ROA , DER , dan SIZE terhadap Return Saham pada Perusahaan yang terdaftar di BEI. Jurnal IKRA-ITH Ekonomika, 4(2), 1–10.
Pretty, Handoko, R., Dicky, & Afiezan, A. (2021). Pengaruh Total Arus Kas, Debt To Equity Ratio, Ukuran Perusahaan dan Laba Akuntansi Terhadap Return Saham pada Sektor Makanan dan Minuman Di Bursa Efek Indonesia. Jurnal Ilmiah Akuntansi Dan Keuangan, 4(4), 1531–1549. https://doi.org/10.1007/springerreference_1459
Ratih, I. G. A. A. N., & Candradewi, M. R. (2020). The Effect of Exchange Rate, Inflation, Gross Domestic Bruto, Return on Assets, and Debt to Equity Ratio on Stock Return in LQ45 Company. American Journal of Humanities and Social Sciences Research, 4(6), 170–177. https://doi.org/e-ISSN :2378-703X
Razak, A., Nurfitriana, F. V., Wana, D., Ramli, Umar, I., & Endri, E. (2020). The Effects of Financial Performance on Stock Returns: Evidence of Machine and Heavy Equipment Companies in Indonesia. Research in World Economy, 11(6), 131–138. https://doi.org/10.5430/rwe.v11n6p131
Ross, S. A. (1977). Determination of Financial Structure: the Incentive-Signalling Approach. The Bell Journal of Economics, 8(1), 23–40. https://doi.org/10.2469/dig.v27.n1.2
Safira, L., & Budiharjo, R. (2021). Pengaruh Return on Asset, Earning Per Share, Price Earning Ratio Terhadap Return Saham. Akurasi: Jurnal Riset Akuntansi Dan Keuangan, 3(1), 43 – 52. https://doi.org/https://doi.org/10.36407/akurasi.v3i1.325
Santoso, B., Sidharta, E. A., & Wardini, A. K. (2020). The impact of Fundamental Factors on Stock Return of The Engineering and Construction Services Company. Jurnal Organisasi Dan Manajemen, 16(2), 158–170. https://doi.org/10.33830/jom.v16i2.818.2020
Santoso, H., & Ugut, G. S. S. (2021). The Effect of ROA, ROE, CR, DER and EVA on Stock Return of Non-Banking Companies Listed on the Lq-45 Index and Sri- Kehati Index on the Indonesia Stock Exchange 2015-2019. Budapest International Research and Critics Institute (BIRCI-Journal), 4(3), 4983–4997. https://doi.org/https://doi.org/10.33258/birci.v4i3.2284
Saputra, I. S. D., & Wardoyo. (2019). Analysis of the Effect of Return on Assets, Earnings Per Share, Inflation Rate, and Interest Rate on Stock Return: a Case Study of Soe Banking Companies Listed in Indonesia Stock Exchange. Russian Journal of Agricultural and Socio-Economic Sciences, 85(1), 24–34. https://doi.org/10.18551/rjoas.2019-01.03
Sari, L., & Kurniasih, A. (2021). The Effect Of Fundamental Factors On The Stock Return Of Agricultural Sector Companies Registered In Indonesia Stock Exchange. International Journal of Economics, Business and Management Research, 5(3), 55–69.
Setyaningsih, P., & Adinugraha, H. H. (2022). The Moderating Role of Return on Assets on Sharia Stock Returns: A Case Study on the Jakarta Islamic Index. Li Falah: Jurnal Studi Ekonomi Dan Bisnis Islam, 6(2), 1–20. https://doi.org/10.31332/lifalah.v6i2.2372
Shia, G. C. Y., Dananjaya, Y., & Susilawati, C. E. (2021). the Effect of Return on Equity, Dividend Yield, Price Earning Ratio, Earning Per Share, and Firm Size on Stock Return on Lq45 Shares in Indonesia Stock Exchange. International Journal of Research Publications, 69(1), 245–253. https://doi.org/10.47119/ijrp100691120211666
Silaban, A. C. (2021). The Effect Of Financial Performance On Share Return With Company Size As Moderated Variables (Empirical Study of Property, Real Estate, and Building Construction Companies that went public in the Kompas 100 Index 2013-2018). EPRA International Journal of Research and Development (IJRD), 6(1), 58–72. https://doi.org/10.36713/epra2016
Simorangkir, R. T. M. C. (2019). Pengaruh Kinerja Keuangan Terhadap Return Saham Perusahaan Pertambangan. Jurnal Bisnis Dan Akuntansi, 21(2), 155–164. https://doi.org/10.34208/jba.v21i2.616
Anjani, T., & Syarif, A. D. (2019). The Effect of Fundamental Analysis on Stock Returns using Data Panels ; Evidence Pharmaceutical Companies listed on IDX. International Journal of Innovate Science and Research Technology, 4(7), 500–505.
Awalakki, M., & Archanna, H. N. (2021). Impact of Financial Performance Ratios on Stock Returns – A Study With Reference to National Stock Exchange. Psychology and Education Journal, 12(03), 2151–2167.
Basarda, R. F., Moeljadi, M., & Indrawati, N. K. (2018). Macro and Micro Determinants of Stock Return Companies in LQ-45 Index. Jurnal Keuangan Dan Perbankan, 22(2), 310–320. https://doi.org/10.26905/jkdp.v22i2.1439
Bastian, H., Wiagustini, L. P., & Artini, L. G. S. (2018). Pengaruh Eva Dan Kinerja Keuangan Terhadap Return Saham Perusahaan Tambang Batubara Di Indonesia. Jurnal Buletin Studi Ekonomi, 23(1), 77–91.
Chandra, S., & Millenia, J. (2021). The Effect of Firm Size, Growth and Advertising on the Profitability and Stock Returns of Pharmaceutical Subsector Companies listed on Indonesia Stock Exchange in 2015-2019. Jurnal Akuntansi, Kewirausahaan Dan Bisnis, 6(1), 8–23.
Erzad, A. M., & Erzad, A. M. (2017). The Effect of Financial Ratios Toward Sharia Stock Return in Jakarta Islamic Index (JII). QIJIS (Qudus International Journal of Islamic Studies), 5(1), 129–150. https://doi.org/10.21043/qijis.v5i1.1971
Fachrudin, K. A., & Ihsan, M. F. (2021). The effect of financial distress probability, firm size and liquidity on stock return of energy users companies in Indonesia. International Journal of Energy Economics and Policy, 11(3), 296–300. https://doi.org/10.32479/ijeep.10677
Fadjar, A., Bagja, J., & Setiawan, A. Y. (2021). Financial Performance and Stock Returns. Turkish Journal of Computer and Mathematics Education, 12(10), 7355–7363. https://doi.org/https://doi.org/10.17762/turcomat.v12i10.5628
Fahmi, I. (2020). Analisis Laporan Keuangan. Alfabeta.
Helia, S., Putra, E. E., & Hidayati, H. (2020). Firm Size and Price Book Value Impact on Stock Return : Evidence from the Indonesian Stock Exchange. Budapest International Research and Critics Institute-Journal (BIRCI-Journal), Volume 3(3), 2567a-2567i. www.bircu-journal.com/index.php/birci
Hery. (2018). Analisis Laporan Keuangan. PT Grasindo.
Kusumah, R. W. R., Ramdhani, C., & Aryanti, D. (2021). The influence of company growth and company value on stock returns. Psychology and Education Journal, 58(3), 434–439.
Lesmana, H., Erawati, W., Mubarok, H., & Suryanti, E. (2021). Pengaruh Likuiditas dan Ukuran Perusahaan terhadap Return Saham pada Perusahaan Manufaktur Sub Sektor Makanan dan Minuman. Moneter - Jurnal Akuntansi Dan Keuangan, 8(1), 25–31. https://doi.org/10.31294/moneter.v8i1.9077
Lucita, S. D., & Mulyana, B. (2021). The Influence of Liquidity, Profitability, Solvency, and Sales Growth on Stock Returns and its Implications on the Corporate Value (Study on Food and Beverage Issuers Year 2015-2019). International Journal for Research in Applied Science and Engineering Technology, 9(1), 732–741. https://doi.org/10.22214/ijraset.2021.32899
Maramis, A., Norisanti, N., & Komariah, K. (2021). Analisis Pengaruh Firm Size dan Sales Growth terhadap Return Saham. COSTING : Journal of Economic, Business and Accounting, 5(1), 542–549. https://doi.org/https://doi.org/10.31539/costing.v5i1.2418
Mudzakar, M. K., & Wardanny, I. P. (2021). The Effect Of Return On Asset , Return On Equity , Earning Per Share , And Price Earning Ratio Toward Stock Return ( Empirical Study Of Transportation ). Turkish Journal of Computer and Mathematics Education, 12(8), 387–392. https://doi.org/https://doi.org/10.17762/turcomat.v12i8.2812
Myers, S. C. (1984). The Capital Structure Puzzle. The Journal of FINANCE, XXXIX(3), 575–592.
Nurdin, M., & Hastuti, R. T. (2020). Pengaruh Leverage Profitabilitas Likuiditas Dan Ukuran Perusahaan Terhadap Returnsaham Perusahaan Manufaktur. Jurnal Multiparadigma Akuntansi Tarumanagara, 2(3), 1067–1075. https://doi.org/http://dx.doi.org/10.24912/jpa.v2i3.9532
Nurhikmawaty, D., Isnurhadi, & Widiyanti, M. (2020). The Effect of Debt to Equity Ratio and Return on Equity on Stock Return with Dividend Policy as Intervening Variables in Subsectors Property and Real Estate on Bei. International Journal of Multicultural and Multireligious Understanding, 7(7), 255–267. https://doi.org/10.4236/ojbm.2020.85131
Nursita, M. (2021). Pengaruh Laba Akuntansi, Arus Kas Operasi, Arus Kas Investasi, Arus Kas Pendanaan, Dan Ukuran Perusahaan Terhadap Return Saham. Going Concern : Jurnal Riset Akuntansi, 16(1), 1–15. https://doi.org/10.32400/gc.16.1.32435.2021
Parawansa, D. S., Rahayu, M., & Sari, B. (2019). Pengaruh ROA , DER , dan SIZE terhadap Return Saham pada Perusahaan yang terdaftar di BEI. Jurnal IKRA-ITH Ekonomika, 4(2), 1–10.
Pretty, Handoko, R., Dicky, & Afiezan, A. (2021). Pengaruh Total Arus Kas, Debt To Equity Ratio, Ukuran Perusahaan dan Laba Akuntansi Terhadap Return Saham pada Sektor Makanan dan Minuman Di Bursa Efek Indonesia. Jurnal Ilmiah Akuntansi Dan Keuangan, 4(4), 1531–1549. https://doi.org/10.1007/springerreference_1459
Ratih, I. G. A. A. N., & Candradewi, M. R. (2020). The Effect of Exchange Rate, Inflation, Gross Domestic Bruto, Return on Assets, and Debt to Equity Ratio on Stock Return in LQ45 Company. American Journal of Humanities and Social Sciences Research, 4(6), 170–177. https://doi.org/e-ISSN :2378-703X
Razak, A., Nurfitriana, F. V., Wana, D., Ramli, Umar, I., & Endri, E. (2020). The Effects of Financial Performance on Stock Returns: Evidence of Machine and Heavy Equipment Companies in Indonesia. Research in World Economy, 11(6), 131–138. https://doi.org/10.5430/rwe.v11n6p131
Ross, S. A. (1977). Determination of Financial Structure: the Incentive-Signalling Approach. The Bell Journal of Economics, 8(1), 23–40. https://doi.org/10.2469/dig.v27.n1.2
Safira, L., & Budiharjo, R. (2021). Pengaruh Return on Asset, Earning Per Share, Price Earning Ratio Terhadap Return Saham. Akurasi: Jurnal Riset Akuntansi Dan Keuangan, 3(1), 43 – 52. https://doi.org/https://doi.org/10.36407/akurasi.v3i1.325
Santoso, B., Sidharta, E. A., & Wardini, A. K. (2020). The impact of Fundamental Factors on Stock Return of The Engineering and Construction Services Company. Jurnal Organisasi Dan Manajemen, 16(2), 158–170. https://doi.org/10.33830/jom.v16i2.818.2020
Santoso, H., & Ugut, G. S. S. (2021). The Effect of ROA, ROE, CR, DER and EVA on Stock Return of Non-Banking Companies Listed on the Lq-45 Index and Sri- Kehati Index on the Indonesia Stock Exchange 2015-2019. Budapest International Research and Critics Institute (BIRCI-Journal), 4(3), 4983–4997. https://doi.org/https://doi.org/10.33258/birci.v4i3.2284
Saputra, I. S. D., & Wardoyo. (2019). Analysis of the Effect of Return on Assets, Earnings Per Share, Inflation Rate, and Interest Rate on Stock Return: a Case Study of Soe Banking Companies Listed in Indonesia Stock Exchange. Russian Journal of Agricultural and Socio-Economic Sciences, 85(1), 24–34. https://doi.org/10.18551/rjoas.2019-01.03
Sari, L., & Kurniasih, A. (2021). The Effect Of Fundamental Factors On The Stock Return Of Agricultural Sector Companies Registered In Indonesia Stock Exchange. International Journal of Economics, Business and Management Research, 5(3), 55–69.
Setyaningsih, P., & Adinugraha, H. H. (2022). The Moderating Role of Return on Assets on Sharia Stock Returns: A Case Study on the Jakarta Islamic Index. Li Falah: Jurnal Studi Ekonomi Dan Bisnis Islam, 6(2), 1–20. https://doi.org/10.31332/lifalah.v6i2.2372
Shia, G. C. Y., Dananjaya, Y., & Susilawati, C. E. (2021). the Effect of Return on Equity, Dividend Yield, Price Earning Ratio, Earning Per Share, and Firm Size on Stock Return on Lq45 Shares in Indonesia Stock Exchange. International Journal of Research Publications, 69(1), 245–253. https://doi.org/10.47119/ijrp100691120211666
Silaban, A. C. (2021). The Effect Of Financial Performance On Share Return With Company Size As Moderated Variables (Empirical Study of Property, Real Estate, and Building Construction Companies that went public in the Kompas 100 Index 2013-2018). EPRA International Journal of Research and Development (IJRD), 6(1), 58–72. https://doi.org/10.36713/epra2016
Simorangkir, R. T. M. C. (2019). Pengaruh Kinerja Keuangan Terhadap Return Saham Perusahaan Pertambangan. Jurnal Bisnis Dan Akuntansi, 21(2), 155–164. https://doi.org/10.34208/jba.v21i2.616
Published
2023-06-30
How to Cite
SMARABHAWA, A. A. Gde Agung; DWIANA PUTRA, I Made Pande.
Likuiditas, Leverage, Profitabilitas, Penilaian Pasar, Firm Size dan Return Saham.
E-Jurnal Akuntansi, [S.l.], v. 33, n. 6, p. 1687-1701, june 2023.
ISSN 2302-8556.
Available at: <https://ojs.unud.ac.id/index.php/akuntansi/article/view/86126>. Date accessed: 09 may 2024.
doi: https://doi.org/10.24843/EJA.2023.v33.i06.p020.
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