Analyzing the Effect of Fundamental Factors on Stock Returns Evidence from Consumer Goods Companies Listed on Indonesia Stock Exchange from 2014-2018
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Institusion
Sekolah Tinggi Manajemen Ipmi
Author
Wijaya, Winny Kartika
Subject
HC Economic History and Conditions
Datestamp
2021-02-02 04:44:22
Abstract :
Some previous researches show different results regarding the effect of macroeconomics variables, market return, and financial performance on the stock returns of companies who are in different industry sectors. Related to industry subsectors, each of the industry sub-sectors has different business risk that might affect the stock return of the companies classified under each of the industry sub-sectors. Because of these two reasons, the objectives of this study are to examine whether there is any difference of stock returns among the consumer goods sub sectors and to examine the effect of macroeconomics variables, market return, industry subsectors, and companies? financial performance towards the stock returns of consumer goods companies during the period of 2014-2018. This study uses GDP growth rate, exchange rate, market return, food and beverages sub-sector, tobacco sub-sector, cosmetics and household sub sector, ROA, ROE, CR, QR, TATO, DAR, DER, and PER, as the independent variables, while for the dependent variable, this study uses stock returns of consumer goods companies during the period of 2014-2018. This study uses difference of means test and panel data regression in order to test the hypotheses. The first result of this study showed that there is no difference of stock returns among the consumer goods sub-sectors. The second result of this study showed that only market return and TATO that positively affect the stock returns of consumer goods companies during the period of 2014-2018. Meanwhile, the other independent variables do not have effects towards the stock returns of the consumer goods companies. In conclusion, fluctuations in the stock returns of consumer goods companies during the period of 2014-2018 can be explained by the market return and TATO. Keywords: Macroeconomics Variables, Market Return, Consumer Goods Sector, Financial Ratios, Asset Turnover, Stock Return
Some previous researches show different results regarding the effect of macroeconomics variables, market return, and financial performance on the stock returns of companies who are in different industry sectors. Related to industry subsectors, each of the industry sub-sectors has different business risk that might affect the stock return of the companies classified under each of the industry sub-sectors. Because of these two reasons, the objectives of this study are to examine whether there is any difference of stock returns among the consumer goods sub sectors and to examine the effect of macroeconomics variables, market return, industry subsectors, and companies? financial performance towards the stock returns of consumer goods companies during the period of 2014-2018. This study uses GDP growth rate, exchange rate, market return, food and beverages sub-sector, tobacco sub-sector, cosmetics and household sub sector, ROA, ROE, CR, QR, TATO, DAR, DER, and PER, as the independent variables, while for the dependent variable, this study uses stock returns of consumer goods companies during the period of 2014-2018. This study uses difference of means test and panel data regression in order to test the hypotheses. The first result of this study showed that there is no difference of stock returns among the consumer goods sub-sectors. The second result of this study showed that only market return and TATO that positively affect the stock returns of consumer goods companies during the period of 2014-2018. Meanwhile, the other independent variables do not have effects towards the stock returns of the consumer goods companies. In conclusion, fluctuations in the stock returns of consumer goods companies during the period of 2014-2018 can be explained by the market return and TATO. Keywords: Macroeconomics Variables, Market Return, Consumer Goods Sector, Financial Ratios, Asset Turnover, Stock Return
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