Analysis Of Factors That Influence Stock Returns With Company Value As Intervening Variables In Consumer Goods Companies On The Indonesia Stock Exchange

by ADMIN 153 views

Analysis of Factors Affecting Stock Returns with Corporate Value as Intervening Variables in Consumer Goods Companies on the Indonesia Stock Exchange

Introduction

In the world of investment, stock returns have become one of the most important indicators for investors in assessing the performance of a company. This study aims to identify the factors that influence stock returns with a focus on consumer goods companies listed on the Indonesia Stock Exchange (IDX) during the period 2009 to 2013. The main focus of this study is to determine the effect of financial ratios such as liquidity, profitability, leverage, and market, as well as the role of company value as an intervening variable.

Research Purposes

This study has two main objectives:

  1. Analyzing the Effect of Financial Ratios on Stock Returns: To analyze the effect of liquidity ratio (Current Ratio - CR and Quick Ratio - QR), profitability ratio (Return on Assets - ROA and Net Profit Margin - NPM), leverage ratio (Debt to Equity Ratio - DER and Debt to Asset Ratio - DAR), and market ratio (EPS and Price Book Value - PBV) to stock returns in partial and simultaneously.
  2. Examining the Influence through Company Value as an Intervening Variable: To examine the same influence through company value as an intervening variable.

Research Methodology

The object of this research consists of 37 companies engaged in the Consumer Goods sector listed on the Indonesia Stock Exchange. Of these, 31 companies were chosen as samples using the purposive sampling method. Data collection was carried out by accessing financial statements from the Indonesian Capital Market Directory and downloading information from the official website of the Indonesia Stock Exchange and Yahoo Finance. For data analysis, multiple linear regression analysis methods are used and path analysis.

Research Results

The results of this study indicate that:

  1. Simultaneous Influence of Financial Ratios on Stock Returns: Simultaneously, liquidity ratio (CR and QR), profitability ratio (ROA and NPM), leverage ratio (DER and DAR), and market ratios (EPS and PBV) have a significant influence on stock returns. This shows that overall, the company's financial performance contributes to the return expected by investors.
  2. Partial Influence of Financial Ratios on Stock Returns: Partially, only the ratio of liquidity (CR) and Market Ratio (PBV) which shows negative and significant influence on stock returns. On the other hand, the ratio of QR, ROA, NPM, DER, DAR, and EPS did not show a significant effect on stock returns. This finding provides important insights on which financial aspects are more concerned about investors in evaluating the potential profits of the company's shares.
  3. Mediating Role of Company Value: The value of the company is only able to mediate the relationship between profitability ratio (ROA and NPM) and market ratios (EPS and PBV) with stock returns. This shows that the value of the company can act as a bridge that explains how profitability and market aspects can influence investment decisions.

Additional Analysis

In-depth analysis of the results of the study shows that investors are more likely to focus on certain ratios in making investment decisions. For example, the ratio of liquidity is a concern because it shows the company's ability to fulfill its short-term obligations. However, investor dependence on market ratios such as PBV is also important, because it reflects the valuation of companies in the market.

The existence of company value as an intervening variable gives an indication that although the ratio of liquidity and leverage does not directly affect stock returns, both still play a role in forming the perception of investor values towards a company. Thus, companies that have a good profitability ratio and high market value tend to attract more investments, which ultimately increase stock returns.

Conclusion

Overall, this research highlights the importance of understanding various financial ratios in the context of stock investment, especially in the Consumer Goods sector. Investors should consider a combination of various financial indicators to obtain a more complete picture of the potential return that can be obtained. This research is expected to be a useful reference for stakeholders, especially investors and financial analysts in making investment decisions that are more appropriate and informed.

Implications of the Study

The findings of this study have several implications for investors, financial analysts, and policymakers. Firstly, investors should consider a combination of various financial indicators to obtain a more complete picture of the potential return that can be obtained. Secondly, financial analysts should take into account the mediating role of company value in their analysis. Finally, policymakers should consider the importance of company value in shaping investor perceptions and decisions.

Limitations of the Study

This study has several limitations. Firstly, the study only focuses on consumer goods companies listed on the Indonesia Stock Exchange. Secondly, the study only uses financial ratios as independent variables. Finally, the study only uses a single time period (2009-2013) as the sample period.

Future Research Directions

This study provides several directions for future research. Firstly, future studies can expand the scope of the study to include other sectors or industries. Secondly, future studies can use other independent variables, such as macroeconomic variables or industry-specific variables. Finally, future studies can use other analytical methods, such as machine learning or artificial intelligence.

References

This study uses a combination of primary and secondary data sources. The primary data sources include financial statements from the Indonesian Capital Market Directory and downloading information from the official website of the Indonesia Stock Exchange and Yahoo Finance. The secondary data sources include existing studies on the topic of financial ratios and stock returns.

Appendix

This appendix provides additional information on the research methodology, data analysis, and results. It also provides a detailed description of the variables used in the study, including the financial ratios and company value.
Q&A: Analysis of Factors Affecting Stock Returns with Corporate Value as Intervening Variables in Consumer Goods Companies on the Indonesia Stock Exchange

Q: What is the main objective of this study?

A: The main objective of this study is to identify the factors that influence stock returns with a focus on consumer goods companies listed on the Indonesia Stock Exchange (IDX) during the period 2009 to 2013. The study aims to determine the effect of financial ratios such as liquidity, profitability, leverage, and market, as well as the role of company value as an intervening variable.

Q: What are the financial ratios used in this study?

A: The financial ratios used in this study include liquidity ratio (Current Ratio - CR and Quick Ratio - QR), profitability ratio (Return on Assets - ROA and Net Profit Margin - NPM), leverage ratio (Debt to Equity Ratio - DER and Debt to Asset Ratio - DAR), and market ratio (EPS and Price Book Value - PBV).

Q: What is the significance of company value as an intervening variable?

A: The value of the company is able to mediate the relationship between profitability ratio (ROA and NPM) and market ratios (EPS and PBV) with stock returns. This shows that the value of the company can act as a bridge that explains how profitability and market aspects can influence investment decisions.

Q: What are the implications of this study for investors and financial analysts?

A: The findings of this study have several implications for investors and financial analysts. Firstly, investors should consider a combination of various financial indicators to obtain a more complete picture of the potential return that can be obtained. Secondly, financial analysts should take into account the mediating role of company value in their analysis.

Q: What are the limitations of this study?

A: This study has several limitations. Firstly, the study only focuses on consumer goods companies listed on the Indonesia Stock Exchange. Secondly, the study only uses financial ratios as independent variables. Finally, the study only uses a single time period (2009-2013) as the sample period.

Q: What are the future research directions based on this study?

A: This study provides several directions for future research. Firstly, future studies can expand the scope of the study to include other sectors or industries. Secondly, future studies can use other independent variables, such as macroeconomic variables or industry-specific variables. Finally, future studies can use other analytical methods, such as machine learning or artificial intelligence.

Q: What are the key findings of this study?

A: The key findings of this study are:

  1. Simultaneously, liquidity ratio (CR and QR), profitability ratio (ROA and NPM), leverage ratio (DER and DAR), and market ratios (EPS and PBV) have a significant influence on stock returns.
  2. Partially, only the ratio of liquidity (CR) and Market Ratio (PBV) which shows negative and significant influence on stock returns.
  3. The value of the company is only able to mediate the relationship between profitability ratio (ROA and NPM) and market ratios (EPS and PBV) with stock returns.

Q: What are the practical implications of this study?

A: The practical implications of this study are:

  1. Investors should consider a combination of various financial indicators to obtain a more complete picture of the potential return that can be obtained.
  2. Financial analysts should take into account the mediating role of company value in their analysis.
  3. Policymakers should consider the importance of company value in shaping investor perceptions and decisions.

Q: What are the contributions of this study to the existing literature?

A: This study contributes to the existing literature by:

  1. Providing a comprehensive analysis of the factors that influence stock returns in consumer goods companies listed on the Indonesia Stock Exchange.
  2. Identifying the mediating role of company value in the relationship between financial ratios and stock returns.
  3. Offering practical implications for investors, financial analysts, and policymakers.