Contribution of Return on Assets, Debt to Equity Ratio, and Book Value to Stock Return

Abstract

This study was conducted to examine the effect of Debt Equity Ratio (DER), Return on Assets (ROA), and Book Value (BV) on stock returns. The sampling technique used was purposive sampling from a population of 30 Food and Beverage industrial companies and seven companies that met the sample criteria. The data was obtained from the publications of the Indonesia Capital Market Directory (ICMD) and the Indonesian stock exchange (Idx). The data analysis method used in this research is multiple regression analysis of panel data. Panel data regression is a regression technique that combines cross-section and time-series data, in which the same cross-sectional unit is measured at different times. The hypothesis tests are the F test (goodness of fit), the t-test, and the coefficient of determination. The results of panel data regression analysis show the regression model is declared feasible or goodness of fit, return on assets has a significant negative effect on stock returns, debt to equity ratio and book value has no impact on stock returns, and the three variables in this study can explain their contribution to stock returns of 37.71 percent.