EFFECT OF FINANCIAL PERFORMANCE AND MACROECONOMIC CONDITIONS ON STOCK RETURN LQ45

• Main Author: Rizky Sukrianingrum, Novita
• Format: Theses
• Language: Indonesia
• Online Access: https://digilib.itb.ac.id/gdl/view/35754
• Institution: Institut Teknologi Bandung

The LQ45 category is one of the indexes that investors are interested in because it has high liquidity and large market capitalization. In addition to having a high level of liquidity and market capitalization, LQ45 is also safe to transact, because these stocks are generally from large companies with promising fundamentals. However, based on the LQ45 index in the past five years (2013-2017), in 2015 the LQ45 index significantly decreased. It indicates the LQ45 index does not always provide positive returns for the investors. Return on Assets (ROA), Current Ratio (CR), Debt to Assets Ratio (DAR) are measurements of financial performance, and Bank Indonesia Rate (BI Rate), Inflation, Gross Domestic Product Growth (GDP Growth) are measurements of macroeconomic conditions that are factors that affects return stock. The purpose of this study is to examine the effect of financial performance and macroeconomic conditions on the company's stock returns recorded in the LQ45 index. This study uses 38 samples listed in the LQ45 index for the period 2013-2017, selected using the purposive sampling method. Multiple linear regression is used to determine the relationship between financial performance components: Return on Assets (ROA), Current Ratio (CR), Debt to Assets Ratio (DAR), and macroeconomic conditions: BI Rate, Inflation, Gross Domestic Product Growth (GDP Growth), with stock returns. The result of this study indicates that ROA and GDP Growth, respectively, have a positive and significant effect on stock returns. CR, BI rate, and inflation, respectively, have a negative and significant effect on stock returns. DAR has a negative effect on stock returns, but statistically, the effect is not significant. And simultaneously, ROA, CR, DAR, BI Rate, Inflation, and GDP Growth have a negative and significant impact on LQ45 company stock returns.