THE RELATIONSHIPP OF FINANCIAL RATIOS, MARKET CAPITALIZATION, AND BETA ON THE RETURN OF LQ45 STOCKS

• Main Author: Lasma Bonatua, Hizkia
• Format: Final Project
• Language: Indonesia
• Online Access: https://digilib.itb.ac.id/gdl/view/72352
• Institution: Institut Teknologi Bandung

Share or stock is an important instrument in financial area. For corporations, it provides them capital needed expansion. For investors, it gives them a high return. Since return is what investors looking for by purchasing assets, to find the determinants of return has been an interesting topic and has been researched across the globe. In this research, the author wants to find the RELATIONSHIP of financial ratios, as well as market capitalization and beta toward stock returns. The sample selected in this research is non-bank companies that are listed in LQ45 index from 2011 to 2015, comprising 17 companies. The author chose to study LQ45 index because it represents companies with the largest capitalization. The methodology used in this research is multiple linear regressions. Thus, the data must passed all the classic assumption test (test of normality, test of autocorrelation, test of multicolinearity, and test of heteroscedasticity) before processed in hypothesis testing (coefficient of determinant, F test, T test). This research found empirical evidence that financial ratios, market capitalization, and beta simultaneously affect stock return with coefficient of determinant of 43.7%. Partially, price to book value and market capitalization have positive and significant relationship to stock return while total asset turnover has negative and significant relationship to stock return in LQ45 stocks.