Financial Performance in Predicting Stock Return: Study on Non-Financial Companies Listed on IDX
Abstract
Accounting and financial information are usually given to investors to help predicting the stock returns because the data has the value and historical. This study aims to examine how the ability of financial performance that represent leverage consisting of debt to asset ratio (DAR), debt to equity ratio (DER), and profitability including return on asset (ROA), return on equity (ROE), and net profit margin (NPM) in predicting stock returns. The research applies a final sample of 163 companies of non-financial sector registered in IDX in 2015-2019. This research applies analysis of multiple linear regression. The study results prove that DAR, ROE, NPM have no significant influence toward the stock returns. DER and ROA give such a significant and also negative influence on stock returns. These results mean that investors can consider DER and ROA in predicting stock returns as signals from accounting and financial data.
Keyword: Debt to Asset Ratio, Debt to Equity Ratio; Return on Asset; Return on Equity; Net Profit Margin; Stock Return
Downloads
Download data is not yet available.
References
Alexander, N., & Destriana, N. (2013). Pengaruh kinerja keuangan terhadap return saham. Jurnal Bisnis Dan Akuntansi, 15(2), 123–132.
Andriani, F., & Winedar, M. (2020). Pengaruh Rasio Keuangan Terhadap Return Saham Pada Perusahaan Idx 30 Yang Terdaftar Di Bursa Efek Indonesia Tahun 2018. Jurnal Analisa Akuntansi Dan Perpajakan, 4(1), 11–20.
Banerjee, A. (2019). Predicting Stock Return of UAE Listed Companies Using Financial Ratios. Accounting and Finance Research, 8(2), 214. https://doi.org/10.5430/afr.v8n2p214
Bollerslev, T., Xu, L., & Zhou, H. (2015). Stock return and cash flow predictability: The role of volatility risk. Journal of Econometrics, 187(2), 458–471.
Carlo, M. A. (2014). Pengaruh return on equity, dividend payout ratio, dan price to earnings ratio pada return saham. E-Jurnal Akuntansi, 7(1), 150–164.
Cui, X., Tang, Q., & Yang, Y. (2022). Factor Investing Strategy Investigation and Optimization for Chinese Stock Market with Backtesting and Implementation. Proceedings of the 2021 3rd International Conference on Economic Management and Cultural Industry (ICEMCI 2021), 203(Icemci), 1169–1181. https://doi.org/10.2991/assehr.k.211209.190
Fjesme, S. L. (2020). Informed trading by non-financial companies. Applied Economics Letters, 27(3), 237–243. https://doi.org/10.1080/13504851.2019.1613489
Ghale, Z. R. (2015). The relation between financial ratio and earnings quality and stock returns. A case study. GMP Review, 15, 6–13.
Goetzmann, W. N., Brown, S. J., Gruber, M. J., & Elton, E. J. (2014). Modern portfolio theory and investment analysis. John Wiley & Sons, 237.
Hadi, N. (2015). Pasar Modal. Graha Ilmu.
Hasanudin, Awaloedin, D. T., & Yulianti, F. (2020). Pengaruh Current Ratio, Debt to Equity Ratio dan Net Profit Margin Terhadap Return Saham pada Perusahaan Jasa Sub Sektor Telekomunikasi yang Terdaftar di BEI Periode 2012-2018. Jurnal Rekayasa Informasi, 9(1), 6–19.
Heikal, M., Khaddafi, M., & Ummah, A. (2014). Influence analysis of return on assets (ROA), return on equity (ROE), net profit margin (NPM), debt to equity ratio (DER), and current ratio (CR), against corporate profit growth in automotive in Indonesia Stock Exchange. International Journal of Academic Research in Business and Social Sciences, 4(12), 101–114.
Iqbal, N., Khattak, S. R., & Khattak, M. A. (2013). Does fundamental analysis predict stock returns? Evidence from non-financial companies listed on KSE. Knowledge Horizons. Economics, 5(4), 182–190.
Jais, M., Jakpar, S., Doris, T. K. P., & Shaikh, J. M. (2012). The financial ratio usage towards predicting stock returns in Malaysia. International Journal of Managerial and Financial Accounting, 4(4), 377–401.
Jiang, X., & Lee, B. S. (2012). Do Decomposed Financial Ratios Predict Stock Returns and Fundamentals Better? Financial Review, 47(3), 531–564.
Khan, M. A. I., Alam, M. S., & Syed, A. J. (2021). Correlation between the Profitability and Working Capital Practices: A Case Study in the Gulf Cooperation Council. Journal of Asian Finance, Economics and Business, 8(3), 229–236. https://doi.org/10.13106/jafeb.2021.vol8.no3.0229
Kim, S. Y., & Park, S.-B. (2019). An Empirical Study on Determinants of Business Performance of Korean Non-life Insurance Companies (Focused on ROA). International Journal of Economics and Finance, 11(10), 118. https://doi.org/10.5539/ijef.v11n10p118
Lima, L. S., & Miranda, L. L. B. (2018). Price dynamics of the financial markets using the stochastic differential equation for a potential double well. Physica A: Statistical Mechanics and Its Applications, 490, 828–833. https://doi.org/10.1016/j.physa.2017.08.106
Mahardika, I. N. F., & Artini, L. G. S. (2017). Pengaruh Rasio Pasar Dan Rasio Profitabilitas Terhadap Return Saham Perusahaan Di Bursa Efek Indonesia. E-Jurnal Manajemen Unud, 6(4), 1877–1905.
Martin, I., & Wagner, C. (2019). What is the Expected Return on a Stock? The Journal of Finance, 74(4), J. Finance.
Marwati, C. P., & Yulianti. (2015). Analisis Pengungkapan Sustainability Report pada Perusahaan Non-Keuangan Tahun 2009-2013. Jurnal Dinamika Akuntansi, 7(2), 167–181.
Otieno, O. D., & Ochieng, D. E. (2015). The effects of rights issue announcements on stock returns for firms listed at the Nairobi securities exchange. International Journal of Education and Research, 3(9), 411–426.
Öztürk, H., & Karabulut, T. A. (2018). The relationship between earnings-to-price, current ratio, profit margin and return: an empirical analysis on Istanbul stock exchange. Accounting and Finance Research, 7(1), 109–115.
Putro, R. R. T. (2020). Pengaruh Debt to Asset Ratio, Return on Asset, Earning Per Share terhadap Return Saham ( Studi Kasus pada perusahaan subsektor Konstruksi dan Bangunan yang terdaftar di BEI ). STEI Ekonomi, XX(Xx), 1–24.
Quiry, P., Le Fur, Y., & Vernimmen, P. (2022). Corporate finance: theory and practice. In John Wiley & Sons.
Rachmawati, I. D., & Rahayu, Y. (2017). Pengaruh Kinerja Keuangan Terhadap Return Saham. Jurnal Ilmu Dan Riset Akuntansi, 6(7), 1–20. https://doi.org/10.32832/inovator.v8i1.1839
Ristyawan, M. R. (2019). Pengaruh Return On Equity (ROE), Debt To Assets Ratio (DAR), Price To Book Value (PBV) Dan Net Profit Margin (NPM) Terhadap Return Saham Perusahaan Sektor Perkebunan Yang Terdaftar Di Bursa Efek Indonesia Periode 2011-2017. Jurnal Ekonomi Bisnis Dan Kewirausahaan, 8(1), 1–17.
Rohpika, D., & Fhitri, N. (2020). Pengaruh Cr, Dar, Der, Pbv Terhadap Return Saham Pada Perusahaan Subsektor Perkebunan Yang Terdaftar Di Bursa Efek Indonesia Periode 2016–2017. Jurnal Manajemen, Ekonomi Sains, 1(2), 42–58.
Simorangkir, R. T. M. C. (2019). Pengaruh Kinerja Keuangan Terhadap Return Saham Perusahaan Pertambangan. Jurnal Bisnis Dan Akuntansi, 21(2), 155–164.
Supriadi. (2015). Analisis Pengaruh Perubahan Laba, Debt To Equity Ratio (DER), Dan Ukuran Perusahaan Terhadap Return Saham Pada Perusahaan Makanan Dan Minuman (Food and Beverage) yang Go Publik di Bursa Efek Indonesia (BEI). EKSIS, 10(2), 136–155.
Tikasari, N., & Surjandari, D. A. (2020). The effect of economic value added and financial performance on stock return. Saudi Journal of Business and Management Studies SSN, 343–352.
Tumonggor, M., Murni, S., & Van Rate, P. (2017). Analisis pengaruh current ratio, return on equity, debt to equity ratio dan growth terhadap return saham pada cosmetics and household industry yang terdaftar di BEI Periode 2010-2016. Jurnal EMBA: Jurnal Riset Ekonomi, Manajemen, Bisnis Dan Akuntansi, 5(2), 2203–2210.
Wang, Y., Hao, X., & Wu, C. (2021). Forecasting stock returns: A time-dependent weighted least squares approach. Journal of Financial Markets, 53, 100568. https://doi.org/10.1016/j.finmar.2020.100568
Wolk, H. I., Michael, G. T., & James, L. D. (2000). Accounting Theory: A. Conceptual and Institutional Approach. South-Western College Publishing.
Yuliaratih, K. A. S., & Artini, L. G. S. (2018). Variabel-variabel yang Mempengaruhi Return Saham pada Perusahaan Property dan Real Estate di BEI. E-Jurnal Ekonomi Dan Bisnis Universitas Udayana, 7(05), 1495–1528.
Andriani, F., & Winedar, M. (2020). Pengaruh Rasio Keuangan Terhadap Return Saham Pada Perusahaan Idx 30 Yang Terdaftar Di Bursa Efek Indonesia Tahun 2018. Jurnal Analisa Akuntansi Dan Perpajakan, 4(1), 11–20.
Banerjee, A. (2019). Predicting Stock Return of UAE Listed Companies Using Financial Ratios. Accounting and Finance Research, 8(2), 214. https://doi.org/10.5430/afr.v8n2p214
Bollerslev, T., Xu, L., & Zhou, H. (2015). Stock return and cash flow predictability: The role of volatility risk. Journal of Econometrics, 187(2), 458–471.
Carlo, M. A. (2014). Pengaruh return on equity, dividend payout ratio, dan price to earnings ratio pada return saham. E-Jurnal Akuntansi, 7(1), 150–164.
Cui, X., Tang, Q., & Yang, Y. (2022). Factor Investing Strategy Investigation and Optimization for Chinese Stock Market with Backtesting and Implementation. Proceedings of the 2021 3rd International Conference on Economic Management and Cultural Industry (ICEMCI 2021), 203(Icemci), 1169–1181. https://doi.org/10.2991/assehr.k.211209.190
Fjesme, S. L. (2020). Informed trading by non-financial companies. Applied Economics Letters, 27(3), 237–243. https://doi.org/10.1080/13504851.2019.1613489
Ghale, Z. R. (2015). The relation between financial ratio and earnings quality and stock returns. A case study. GMP Review, 15, 6–13.
Goetzmann, W. N., Brown, S. J., Gruber, M. J., & Elton, E. J. (2014). Modern portfolio theory and investment analysis. John Wiley & Sons, 237.
Hadi, N. (2015). Pasar Modal. Graha Ilmu.
Hasanudin, Awaloedin, D. T., & Yulianti, F. (2020). Pengaruh Current Ratio, Debt to Equity Ratio dan Net Profit Margin Terhadap Return Saham pada Perusahaan Jasa Sub Sektor Telekomunikasi yang Terdaftar di BEI Periode 2012-2018. Jurnal Rekayasa Informasi, 9(1), 6–19.
Heikal, M., Khaddafi, M., & Ummah, A. (2014). Influence analysis of return on assets (ROA), return on equity (ROE), net profit margin (NPM), debt to equity ratio (DER), and current ratio (CR), against corporate profit growth in automotive in Indonesia Stock Exchange. International Journal of Academic Research in Business and Social Sciences, 4(12), 101–114.
Iqbal, N., Khattak, S. R., & Khattak, M. A. (2013). Does fundamental analysis predict stock returns? Evidence from non-financial companies listed on KSE. Knowledge Horizons. Economics, 5(4), 182–190.
Jais, M., Jakpar, S., Doris, T. K. P., & Shaikh, J. M. (2012). The financial ratio usage towards predicting stock returns in Malaysia. International Journal of Managerial and Financial Accounting, 4(4), 377–401.
Jiang, X., & Lee, B. S. (2012). Do Decomposed Financial Ratios Predict Stock Returns and Fundamentals Better? Financial Review, 47(3), 531–564.
Khan, M. A. I., Alam, M. S., & Syed, A. J. (2021). Correlation between the Profitability and Working Capital Practices: A Case Study in the Gulf Cooperation Council. Journal of Asian Finance, Economics and Business, 8(3), 229–236. https://doi.org/10.13106/jafeb.2021.vol8.no3.0229
Kim, S. Y., & Park, S.-B. (2019). An Empirical Study on Determinants of Business Performance of Korean Non-life Insurance Companies (Focused on ROA). International Journal of Economics and Finance, 11(10), 118. https://doi.org/10.5539/ijef.v11n10p118
Lima, L. S., & Miranda, L. L. B. (2018). Price dynamics of the financial markets using the stochastic differential equation for a potential double well. Physica A: Statistical Mechanics and Its Applications, 490, 828–833. https://doi.org/10.1016/j.physa.2017.08.106
Mahardika, I. N. F., & Artini, L. G. S. (2017). Pengaruh Rasio Pasar Dan Rasio Profitabilitas Terhadap Return Saham Perusahaan Di Bursa Efek Indonesia. E-Jurnal Manajemen Unud, 6(4), 1877–1905.
Martin, I., & Wagner, C. (2019). What is the Expected Return on a Stock? The Journal of Finance, 74(4), J. Finance.
Marwati, C. P., & Yulianti. (2015). Analisis Pengungkapan Sustainability Report pada Perusahaan Non-Keuangan Tahun 2009-2013. Jurnal Dinamika Akuntansi, 7(2), 167–181.
Otieno, O. D., & Ochieng, D. E. (2015). The effects of rights issue announcements on stock returns for firms listed at the Nairobi securities exchange. International Journal of Education and Research, 3(9), 411–426.
Öztürk, H., & Karabulut, T. A. (2018). The relationship between earnings-to-price, current ratio, profit margin and return: an empirical analysis on Istanbul stock exchange. Accounting and Finance Research, 7(1), 109–115.
Putro, R. R. T. (2020). Pengaruh Debt to Asset Ratio, Return on Asset, Earning Per Share terhadap Return Saham ( Studi Kasus pada perusahaan subsektor Konstruksi dan Bangunan yang terdaftar di BEI ). STEI Ekonomi, XX(Xx), 1–24.
Quiry, P., Le Fur, Y., & Vernimmen, P. (2022). Corporate finance: theory and practice. In John Wiley & Sons.
Rachmawati, I. D., & Rahayu, Y. (2017). Pengaruh Kinerja Keuangan Terhadap Return Saham. Jurnal Ilmu Dan Riset Akuntansi, 6(7), 1–20. https://doi.org/10.32832/inovator.v8i1.1839
Ristyawan, M. R. (2019). Pengaruh Return On Equity (ROE), Debt To Assets Ratio (DAR), Price To Book Value (PBV) Dan Net Profit Margin (NPM) Terhadap Return Saham Perusahaan Sektor Perkebunan Yang Terdaftar Di Bursa Efek Indonesia Periode 2011-2017. Jurnal Ekonomi Bisnis Dan Kewirausahaan, 8(1), 1–17.
Rohpika, D., & Fhitri, N. (2020). Pengaruh Cr, Dar, Der, Pbv Terhadap Return Saham Pada Perusahaan Subsektor Perkebunan Yang Terdaftar Di Bursa Efek Indonesia Periode 2016–2017. Jurnal Manajemen, Ekonomi Sains, 1(2), 42–58.
Simorangkir, R. T. M. C. (2019). Pengaruh Kinerja Keuangan Terhadap Return Saham Perusahaan Pertambangan. Jurnal Bisnis Dan Akuntansi, 21(2), 155–164.
Supriadi. (2015). Analisis Pengaruh Perubahan Laba, Debt To Equity Ratio (DER), Dan Ukuran Perusahaan Terhadap Return Saham Pada Perusahaan Makanan Dan Minuman (Food and Beverage) yang Go Publik di Bursa Efek Indonesia (BEI). EKSIS, 10(2), 136–155.
Tikasari, N., & Surjandari, D. A. (2020). The effect of economic value added and financial performance on stock return. Saudi Journal of Business and Management Studies SSN, 343–352.
Tumonggor, M., Murni, S., & Van Rate, P. (2017). Analisis pengaruh current ratio, return on equity, debt to equity ratio dan growth terhadap return saham pada cosmetics and household industry yang terdaftar di BEI Periode 2010-2016. Jurnal EMBA: Jurnal Riset Ekonomi, Manajemen, Bisnis Dan Akuntansi, 5(2), 2203–2210.
Wang, Y., Hao, X., & Wu, C. (2021). Forecasting stock returns: A time-dependent weighted least squares approach. Journal of Financial Markets, 53, 100568. https://doi.org/10.1016/j.finmar.2020.100568
Wolk, H. I., Michael, G. T., & James, L. D. (2000). Accounting Theory: A. Conceptual and Institutional Approach. South-Western College Publishing.
Yuliaratih, K. A. S., & Artini, L. G. S. (2018). Variabel-variabel yang Mempengaruhi Return Saham pada Perusahaan Property dan Real Estate di BEI. E-Jurnal Ekonomi Dan Bisnis Universitas Udayana, 7(05), 1495–1528.
Published
2022-09-26
How to Cite
RIZKA, Nor Rahma.
Financial Performance in Predicting Stock Return: Study on Non-Financial Companies Listed on IDX.
E-Jurnal Akuntansi, [S.l.], v. 32, n. 9, p. 2787-2800, sep. 2022.
ISSN 2302-8556.
Available at: <https://ojs.unud.ac.id/index.php/akuntansi/article/view/90243>. Date accessed: 20 nov. 2024.
doi: https://doi.org/10.24843/EJA.2022.v32.i09.p12.
Issue
Section
Artikel
This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.
