VALUATION, FINANCIAL PERFORMANCE, AND MACROECONOMIC CONDITION ON STOCK RETURN OF MANUFACTURE COMPANIES

• Main Author: Rivadil Sidiq, Afdhal
• Format: Theses
• Language: Indonesia
• Subjects: Manajemen umum
• Online Access: https://digilib.itb.ac.id/gdl/view/84765
• Institution: Institut Teknologi Bandung

This research investigates the effects of valuation, financial performance, and macroeconomic conditions on the stock returns of manufacturing companies listed on the Indonesian Stock Exchange from the first quarter of 2023 to the first quarter of 2024. The study addresses critical issues in financial economics, particularly the need to understand how different factors influence stock returns in emerging markets. The background of this research highlights the dynamic nature of the stock market and the unique economic conditions in Indonesia, which necessitate a comprehensive analysis of the determinants of stock returns. The research is structured in several stages: an initial literature review, hypothesis formulation, data collection and analysis, and interpretation of results. Key assumptions include the market efficiency of the Indonesian Stock Exchange and the relevance of selected financial ratios and macroeconomic indicators. The primary hypotheses tested in this study include the impact of price-earnings ratio (PER), price-to-book value (PBV), net profit margin (NPM), earnings per share (EPS), return on assets (ROA), return on equity (ROE), current ratio (CR), gross domestic product (GDP), inflation rate, and exchange rate on stock returns, both partial and simultaneous. The research aims to provide a nuanced understanding of how these variables affect stock returns and to offer actionable insights for investors, financial analysts, and policymakers. The methodology involves quantitative analysis using regression techniques to test the significance of each variable. Data is sourced from financial statements of the companies and macroeconomic data from reputable sources. The brief review of the literature indicates mixed results regarding the impact of financial performance metrics and macroeconomic conditions on stock returns. While some studies suggest a strong correlation, others find minimal or no significant effects, highlighting the need for context-specific research. The findings of this study are significant. The analysis reveals that PBV, EPS, ROA, ROE, GDP, and inflation rate have statistically significant impacts on stock returns, whereas PER, NPM, CR, and exchange rate do not show significant effects. These results suggest that both company-specific financial performance indicators and broader economic conditions play crucial roles in shaping stock returns in the Indonesian market. Additionally, the simultaneous testing of all variables (H11) confirms their collective influence on stock returns, underscoring the importance of a holistic approach to investment analysis. The methodology will involve quantitative analysis using panel data regression to test these hypotheses. The data will be sourced from IDX, stockbit, investing.com, bi.go.id, and bps.go.id. The panel data approach allows for the analysis of multiple dimensions (cross-sectional and time-series) and is appropriate for understanding the dynamic relationships between the variables. The analysis was conducted using the STATAMP 17 software. The hypotheses testing for the impact of various factors on stock returns in the Indonesian manufacturing sector revealed that the Price-Book Value (PBV), Earnings Per Share (EPS), Return on Assets (ROA), Return on Equity (ROE), and Gross Domestic Product (GDP) significantly influence stock returns, as evidenced by their p-values being less than the 0.05 significance level, leading to the acceptance of the respective hypotheses. In contrast, the Price-Earnings Ratio (PER), Net Profit Margin (NPM), Current Ratio (CR), and the Exchange Rate do not significantly affect stock returns, as their p-values exceeded the 0.05 threshold, resulting in the rejection of those hypotheses. Additionally, the inflation rate also significantly impacts stock returns. Overall, the model is highly significant, with an R-squared value of 0.8226, indicating that 82.26% of the variability in stock returns is explained by the independent variables included in the study, further underscored by the adjusted R-squared value of 0.8137.