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Abstract
This research aims to analyze the effect of liquidity, leverage and profitability on the company's stock returns. Liquidity is proxied by current ratio, leverage is proxied by debt to equity ratio (DER), and profitability is proxied by return on assets (ROA). The research uses quantitative approach to explain the research purpose comprehensively through statistics scheme. The research population is all infrastructure, utility and transportation companies listed on Indonesian stock exchange in 2018-2020. This resesarch use purposive sampling technique and 27 companies as samples. The analysis method is classical assumption, multiple linier regression, hypothesis test, estimator model accuracy test and determination test. Several results show that liquidity, leverage, and profitability individually have significant effect on stock return. Based on the goodness of fit test shows liquidity with CR, leverage with DER and profitability with ROA simultaneously effect on stock return. The originality of this research is model initiation of the company's policy-making to increase stock returns in the future period through ratio analysis.
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Copyright (c) 2022 Sisca Dian Rahmawati, Febrianur Ibnu Fitroh Sukono Putra
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References
- Affandi, M. T. (2019). Profit equalization reserve and investment risk reserve: Issues and its application. Islamic Economics Journal, 5(2), 295-315.
- Al Salamat, W. A., & Mustafa, H. H. (2016). The impact of capital structure on stock return: empirical evidence from Amman stock exchange. International Journal of Business and Social Science, 7(9), 183-196.
- Arifardhani, Y., (2020). Hukum Pasar Modal di Indonesia: Dalam Perkembangan, Edisi Pertama. Jakarta: Kencana.
- Bataineh, M. A., & Alrabadi, D. W. H. (2017). The Effect of Liquidity Risk on Stock Returns: The Case of Amman Stock Exchange during) 2004-2013. Arab Journal of Administration, 37(1).
- Budiman, R. (2020). Rahasia Analisis Fundamental Saham: Memahami Laporan Keuangan. Jakarta: Elex Media Komputindo.
- Chen, Z., Harford, J., & Kamara, A. (2019). Operating leverage, profitability, and capital structure. Journal of Financial And Quantitative Analysis, 54(1), 369-392.
- Dwiantari, R. A., & Artini, L. G. S. (2021). The Effect of Liquidity, Leverage, and Profitability on Financial Distress (Case Study of Property and Real Estate Companies on the IDX 2017-2019). American Journal of Humanities and Social Sciences Research (AJHSSR), 5(1), 367-373.
- 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.
- Fajaria, A. Z., & Isnalita, N. I. D. N. (2018). The effect of profitability, liquidity, leverage and firm growth of firm value with its dividend policy as a moderating variable. International Journal of Managerial Studies and Research (IJMSR), 6(10), 55-69.
- Ghozali, I. (2013). Application of Multivariate Analysis with IBM SPSS 21 Program. Semarang: Diponegoro University Publisher.
- Hardianto, M. B. S. (2021). The Effect of Financial, Institutional and Managerial Ownership Factors on Dividend Policy of Manufacturing Companies in Consumer Goods Sector Listed on The Indonesia Stock Exchange in Period 2016-2019. Journal of Business and Management Review, 2(8), 517-530.
- Jääskeläinen, M., Maula, M., & Murray, G. (2007). Profit distribution and compensation structures in publicly and privately funded hybrid venture capital funds. Research Policy, 36(7), 913-929.
- Jiang, Y., Tian, G., Wu, Y., & Mo, B. (2022). Impacts of geopolitical risks and economic policy uncertainty on Chinese tourism‐listed company stock. International Journal of Finance & Economics, 27(1), 320-333.
- Kajola, S. O., Alao, A., Sanyaolu, W. A., & Ojurongbe, O. J. (2019). Effect of liquidity and leverage on financial performance of Nigerian listed consumer goods firms. The Journal Contemporary Economy, 4(3), 91-102.
- Kasmir (2016). Pengantar Manajemen Keuangan, Edisi Kedua. Jakarta: Kencana
- Khan, W., Naz, A., Khan, M., Khan, W. K. Q., & Ahmad, S. (2013). The impact of capital structure and financial performance on stock returns: A case of Pakistan textile industry. Middle-East Journal of Scientific Research, 16(2), 289-295.
- Kusumah, R. W. R., & Yudhanto, I. A. (2020). The effect of profitability, solvability, liquidity, and firm size on stock returns (Empirical studies on property, real estate, and building construction companies listed on the Indonesia stock exchange for the period 2014-2017). PalArch's Journal of Archaeology of Egypt/Egyptology, 17(4), 3577-3584.
- Latif, I.N., Reza, F., & Dewi, C.K. (2021). Statistik Inferensial: Teori dan Aplikasi, Edisi Pertama, Klaten: Tahta Media Group.
- Lazzem, S., & Jilani, F. (2018). The impact of leverage on accrual-based earnings management: The case of listed French firms. Research in International Business and Finance, 44, 350-358.
- Mahzura, T. A. S. (2018). The analysis of the influence of financial performance, company size, ownership structure, leverage and company growth on company values in food and beverage industry companies listed in IDX 2012-2016 period. International Journal of Public Budgeting, Accounting and Finance, 1(4), 1-12.
- Medyawati, H., & Yunanto, M. (2017). Leverage ratio effect on stock return in the companies sector of property, real estate and construction in Indonesia: Panel data analysis. International Journal of Globalisation and Small Business, 9(1), 1-9.
- Puspitasari, E., Sudiyatno, B., Hartoto, W. E., & Widati, L. W. (2021). Net interest margin and return on assets: A Case Study in Indonesia. The Journal of Asian Finance, Economics and Business, 8(4), 727-734.
- Ramlah, R. (2021). The Effect of Profitability and Leverage on Stock Return of Food and Beverage Companies. Point of View Research Management, 2(2), 139-150.
- Rehman, H., Amir, M., Anwar, M. M., & Malik, B. (2020). Impact of Leverage on Stock Return (A case study of textile sector of Pakistan Stock Exchange). International Journal of Business and Management Sciences, 1(4).
- Riyanto, S. & Hatmawan, A.A. (2020). Metode Riset Penelitian Kuantitatif Di Bidang Manajemen, Teknik, Pendidikan, dan Eksperimen, Edisi Pertama. Yogyakarta: Deepublish Publisher.
- Samo, A. H., & Murad, H. (2019). Impact of liquidity and financial leverage on firm's profitability–an empirical analysis of the textile industry of Pakistan. Research Journal of Textile and Apparel, 23(4), 291-305.
- Shakatreh, M. (2020). The effect of liquidity risks on the relationship between earnings and stock return on Jordanian public shareholding industrial companies. The Journal of Asian Finance, Economics and Business, 7(4), 21-28.
- Sitorus, T., & Elinarty, S. (2017). The influence of liquidity and profitability toward the growth at stock price mediated by the dividends paid out (Case in banks listed in Indonesia Stock Exchange). Journal of Economics, Business, and Accountancy Ventura, 19(3), 377-392.
- Sondakh, R. (2019). The effect of dividend policy, liquidity, profitability and firm size on firm value in financial service sector industries listed in Indonesia stock exchange 2015-2018 period. Accountability, 8(2), 91-101.
- Sutomo, S., Wahyudi, S., Pangestuti, I., & Muharam, H. (2020). The determinants of capital structure in coal mining industry on the Indonesia Stock Exchange. Investment Management and Financial Innovations, 17(1), 165-174.
- Warrad, L. H., & Nassar, M. (2017). Could profitability, activity and use of equity finance increasing dupont model of return on equity? Jordanian case. International Review of Management and Marketing, 7(3), 35-41.
- Widyastuti, M. (2019). Analysis of liquidity, activity, leverage, financial performance and company value in food and beverage companies listed on the Indonesia Stock Exchange. SSRG International Journal of Economics and Management Studies (SSRG-IJEMS), 6(5), 52-58.
- Zulfikar, (2016). Pengantar Pasar Modal dengan Pendekatan Statistika, Edisi Pertama. Yogyakarta: Deepublish Publisher.
References
Affandi, M. T. (2019). Profit equalization reserve and investment risk reserve: Issues and its application. Islamic Economics Journal, 5(2), 295-315.
Al Salamat, W. A., & Mustafa, H. H. (2016). The impact of capital structure on stock return: empirical evidence from Amman stock exchange. International Journal of Business and Social Science, 7(9), 183-196.
Arifardhani, Y., (2020). Hukum Pasar Modal di Indonesia: Dalam Perkembangan, Edisi Pertama. Jakarta: Kencana.
Bataineh, M. A., & Alrabadi, D. W. H. (2017). The Effect of Liquidity Risk on Stock Returns: The Case of Amman Stock Exchange during) 2004-2013. Arab Journal of Administration, 37(1).
Budiman, R. (2020). Rahasia Analisis Fundamental Saham: Memahami Laporan Keuangan. Jakarta: Elex Media Komputindo.
Chen, Z., Harford, J., & Kamara, A. (2019). Operating leverage, profitability, and capital structure. Journal of Financial And Quantitative Analysis, 54(1), 369-392.
Dwiantari, R. A., & Artini, L. G. S. (2021). The Effect of Liquidity, Leverage, and Profitability on Financial Distress (Case Study of Property and Real Estate Companies on the IDX 2017-2019). American Journal of Humanities and Social Sciences Research (AJHSSR), 5(1), 367-373.
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.
Fajaria, A. Z., & Isnalita, N. I. D. N. (2018). The effect of profitability, liquidity, leverage and firm growth of firm value with its dividend policy as a moderating variable. International Journal of Managerial Studies and Research (IJMSR), 6(10), 55-69.
Ghozali, I. (2013). Application of Multivariate Analysis with IBM SPSS 21 Program. Semarang: Diponegoro University Publisher.
Hardianto, M. B. S. (2021). The Effect of Financial, Institutional and Managerial Ownership Factors on Dividend Policy of Manufacturing Companies in Consumer Goods Sector Listed on The Indonesia Stock Exchange in Period 2016-2019. Journal of Business and Management Review, 2(8), 517-530.
Jääskeläinen, M., Maula, M., & Murray, G. (2007). Profit distribution and compensation structures in publicly and privately funded hybrid venture capital funds. Research Policy, 36(7), 913-929.
Jiang, Y., Tian, G., Wu, Y., & Mo, B. (2022). Impacts of geopolitical risks and economic policy uncertainty on Chinese tourism‐listed company stock. International Journal of Finance & Economics, 27(1), 320-333.
Kajola, S. O., Alao, A., Sanyaolu, W. A., & Ojurongbe, O. J. (2019). Effect of liquidity and leverage on financial performance of Nigerian listed consumer goods firms. The Journal Contemporary Economy, 4(3), 91-102.
Kasmir (2016). Pengantar Manajemen Keuangan, Edisi Kedua. Jakarta: Kencana
Khan, W., Naz, A., Khan, M., Khan, W. K. Q., & Ahmad, S. (2013). The impact of capital structure and financial performance on stock returns: A case of Pakistan textile industry. Middle-East Journal of Scientific Research, 16(2), 289-295.
Kusumah, R. W. R., & Yudhanto, I. A. (2020). The effect of profitability, solvability, liquidity, and firm size on stock returns (Empirical studies on property, real estate, and building construction companies listed on the Indonesia stock exchange for the period 2014-2017). PalArch's Journal of Archaeology of Egypt/Egyptology, 17(4), 3577-3584.
Latif, I.N., Reza, F., & Dewi, C.K. (2021). Statistik Inferensial: Teori dan Aplikasi, Edisi Pertama, Klaten: Tahta Media Group.
Lazzem, S., & Jilani, F. (2018). The impact of leverage on accrual-based earnings management: The case of listed French firms. Research in International Business and Finance, 44, 350-358.
Mahzura, T. A. S. (2018). The analysis of the influence of financial performance, company size, ownership structure, leverage and company growth on company values in food and beverage industry companies listed in IDX 2012-2016 period. International Journal of Public Budgeting, Accounting and Finance, 1(4), 1-12.
Medyawati, H., & Yunanto, M. (2017). Leverage ratio effect on stock return in the companies sector of property, real estate and construction in Indonesia: Panel data analysis. International Journal of Globalisation and Small Business, 9(1), 1-9.
Puspitasari, E., Sudiyatno, B., Hartoto, W. E., & Widati, L. W. (2021). Net interest margin and return on assets: A Case Study in Indonesia. The Journal of Asian Finance, Economics and Business, 8(4), 727-734.
Ramlah, R. (2021). The Effect of Profitability and Leverage on Stock Return of Food and Beverage Companies. Point of View Research Management, 2(2), 139-150.
Rehman, H., Amir, M., Anwar, M. M., & Malik, B. (2020). Impact of Leverage on Stock Return (A case study of textile sector of Pakistan Stock Exchange). International Journal of Business and Management Sciences, 1(4).
Riyanto, S. & Hatmawan, A.A. (2020). Metode Riset Penelitian Kuantitatif Di Bidang Manajemen, Teknik, Pendidikan, dan Eksperimen, Edisi Pertama. Yogyakarta: Deepublish Publisher.
Samo, A. H., & Murad, H. (2019). Impact of liquidity and financial leverage on firm's profitability–an empirical analysis of the textile industry of Pakistan. Research Journal of Textile and Apparel, 23(4), 291-305.
Shakatreh, M. (2020). The effect of liquidity risks on the relationship between earnings and stock return on Jordanian public shareholding industrial companies. The Journal of Asian Finance, Economics and Business, 7(4), 21-28.
Sitorus, T., & Elinarty, S. (2017). The influence of liquidity and profitability toward the growth at stock price mediated by the dividends paid out (Case in banks listed in Indonesia Stock Exchange). Journal of Economics, Business, and Accountancy Ventura, 19(3), 377-392.
Sondakh, R. (2019). The effect of dividend policy, liquidity, profitability and firm size on firm value in financial service sector industries listed in Indonesia stock exchange 2015-2018 period. Accountability, 8(2), 91-101.
Sutomo, S., Wahyudi, S., Pangestuti, I., & Muharam, H. (2020). The determinants of capital structure in coal mining industry on the Indonesia Stock Exchange. Investment Management and Financial Innovations, 17(1), 165-174.
Warrad, L. H., & Nassar, M. (2017). Could profitability, activity and use of equity finance increasing dupont model of return on equity? Jordanian case. International Review of Management and Marketing, 7(3), 35-41.
Widyastuti, M. (2019). Analysis of liquidity, activity, leverage, financial performance and company value in food and beverage companies listed on the Indonesia Stock Exchange. SSRG International Journal of Economics and Management Studies (SSRG-IJEMS), 6(5), 52-58.
Zulfikar, (2016). Pengantar Pasar Modal dengan Pendekatan Statistika, Edisi Pertama. Yogyakarta: Deepublish Publisher.