The
Effect of
Financial Performance on
Stock Returns in
Consumer Goods Sector Companies Listed on
The Indonesia Stock Exchange for
the
20162021 Period
Valeriani Pau
Tuni Lasa, Matrodji H.Mustafa
Faculty of
Economics and Business, Universitas Mercu Buana, Jakarta, Indonesia
Email:
[email protected], [email protected]
Keywords 

ABSTRACT 

Return on asset,
Curent ratio, Debt to asset ratio, Total asset turnover,Sizeï¿½ï¿½ 

This
research aims to analyze and examine the factors that influence the stock return
of the consumer goods sector listed on the Indonesia Stock Exchange. The
research data is annual data for the observation period from 2016 to 2021
obtained from the company's annual report. The sampling method used was
purposive sampling. From 57 companies as a population, 15 companies were
taken as samples. Then based on the Chow test and Hausman test, the data
analysis method used in this study is panel data regression with Fixed Effect
Mode. The results of the study have shown that Return on Assets has a
positive effect on stock returns, Debt to Assets ratio has a negative effect
on stock returns, while current ratio, Total Asset turnover, and Size have no
effect on stock returns. 








INTRODUCTION
Consumer goods sector companies are industries engaged in
manufacturing that process raw materials into finished materials, where later
the products produced will be consumed by the wider community. Based on data in
pusatis.com republished by cepagram.com, stocks that entered the Consumer Goods
sector in 2020 were divided into 5 Subsectors, namely: Food and Beverages,
Cigarettes (Tobacco Manufacturers), Pharmaceuticals, Cosmetics And Household
and Houseware. The Consumer Goods Sector of the Food and Beverages SubSector
is projected to be one of the sectors that can be used as a mainstay in
supporting manufacturing growth and the national economy. The Consumer Goods
Sector of the Food and Beverages SubSector also has promising prospects and
good company performance with the stock price of each company that tends to be
relatively stable so that this will make investors interested in investing in
this sector.
In the face of increasingly fierce business competition among
various public or household consumption provider companies, Fast Moving
Consumer Goods (FMCG) companies that have been listed on the Indonesia Stock
Exchange, must have good financial performance, So as to increase investment.
Investment is a commitment to a number of funds or other resources
with the aim of obtaining a number of benefits in the future (Tandelilin, 2014:2). The purpose of
investing is to get a return, which is the result (profit or loss) obtained
from an investment. For investors, there are two things that are often a
concern in deciding their investment choices, namely determining the expected
return and the amount of risk that must be borne as a logical consequence of
investment decisions that have been taken (Ang, 1997) make investment
decisions.
Financial performance has a very important role for a company,
especially for public companies (issuers), where in its operational activities
are supported by investor funding in the use of its capital. Companies that
have positive performance, not only maintain the existence and growth of the
company, but can also be one of the attractions of investors to continue to
invest. From the list of companies in table 1.1 contained in the appendix, it
can be seen that there are companies that have long been listed on the
Indonesia Stock Exchange and some have only registered their companies a few
years ago. The increasing number of companies in this industry from year to
year indicates that business competition in the consumer goods sector is
getting tighter, so these companies certainly cannot be separated from the need
for good financial performance.
Financial performance can basically be said as an evaluation of
the company which includes assets, liabilities, equity, costs, and overall
profitability. Fahmi, 2018 stated that: "Financial performance is an
analysis conducted to see the extent to which the company has implemented financial
rules properly and correctly". So it can be said that financial
performance performance is the achievement of a company's form of achievement
in its financial management activities over a certain period of time.ï¿½
The capital market is a market for various longterm financial
instruments with a maturity of more than one year, such as stocks, debt
securities (bonds), mutual funds, and various derivative instruments from
securities or securities. The capital market is a means of funding for
companies and governments, and as a means of investment activities for fund
owners (investors). The capital market is not just a market that has buying and
selling transactions. The capital market has a big role for a country's economy
because the capital market performs two functions at once, namely the economic
function and the financial function.
Business in the capital market is an attractive business today,
because business in the capital market can be said to be a fairly stable
business. Therefore, companies that have been listed on the Indonesia Stock
Exchange, should have good financial performance so as to attract investors.
With the listing of the company on the Indonesia Stock Exchange, of course, the
goal is to make it easier to access funding for the continuity and growth of
its business.
The financial performance of a company (issuer) can be seen from
its financial statements. So as to be able to describe the overall financial
condition, both related to the collection of funds and the distribution of
funds. Measurement of a company's financial performance, generally can be seen
from the liquidity ratio, activity ratio, solvency ratio, and profitability
ratio.
Investors before investing in certain stocks on the capital market
(Indonesia Stock Exchange), of course, analyze their financial performance
first, this is done to get a holistic picture of the company, one of which is
an overview of stocks. In other words, stock returns are one of the most
important things for investors and companies. In this case, stock returns can
be used as a tool to measure company performance by investors in investing in
the capital market which is certainly to get a rate of return on funds invested
in company shares.
Return is the result obtained from investment, return can be in
the form of realized returns that have occurred or expected returns that have
not occurred but are expected to occur in the future (Hartono, n.d). Meanwhile, according to (Gitman, L. J.,
& Michael, 2010). Stock return is a
rate of return for ordinary shares and is a cash payment received due to
ownership of a share at the beginning of investment. Thus, it can be said that
stock return is the rate of return or profit obtained by investors on a number
of investment funds invested in shares of certain companies in the capital
market. Before investors invest their capital, investors can forecast expected
stock income in the future, or predict stock returns on their investment.
In 2020, the return of the stock market is lower, even smaller
than the bond index. Whereas in the previous year, stock returns always
exceeded the bond index. Overall, issuers posted a 10% decline in revenue in
2020. However, amid the slowdown in the performance of the issuer, retail
investors experienced rapid growth (beritasatu.com,
2021). The performance of ISHG
over the past 10 years can be seen in the following figure:
Table 1. Composite Stock
Price Index (ISHG)
Year 
JCI yearend 
Annual Acquisition 
Accumulated Acquisition 
2012 
4.316,69 
12,94% 
12,94% 
2013 
4.274,18 
0,98% 
11,83% 
2014 
5.226.95 
22,29% 
36,76% 
2015 
4.593,01 
12,13% 
20,17% 
2016 
5.296,71 
15,32% 
38,59% 
2017 
6,355,65 
19,99% 
66,29% 
2018 
6.194,50 
2,54% 
62,08% 
2019 
6.299,54 
1,70% 
64,08% 
2020 
5,979,07 
5,09% 
56,44% 
2021 
6,581,48 
10,08% 
72,20% 
JCI Performance 10year Annualized (CAGR) 
5,59% 
ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ Source:
idx.co.id, 2022 (processed bolasalju.com, 2022)
The decline in returns caused by the slowdown in the performance
of issuers can be seen in the following performance of the Composite Stock
Price Index (ISHG), where in 2020 there was a sharp decline.
Figure 1. Composite Stock Price Index (ISHG)
Source: idx.co.id,
2021
Stock indices can basically be used as a marker of investment
market conditions globally. Stocks are volatile, can go up or down as well as
commodity prices in the market. The occurrence of ups and downs in stock prices
is something natural, this is because the movement is determined by the forces
of supply and demand in the capital market. When demand is high, the price will
rise, and vice versa when supply is high, the price will decrease.
ï¿½ (Sudarsono
& Sudiyatno, 2016) stated that many
factors affect stock returns, including fundamental and technical information.
Fundamental information focuses on the performance of the company issuing the
shares and the economic analysis that will affect the future of the company. It
can also be said that fundamentals relate to financial ratios and events that
directly or indirectly affect the financial performance of the company. While
technical information is market data from stocks, such as the price and volume
of stock sales transactions to determine the value of shares regardless of the
performance of the company that issued the shares.
ï¿½In this study, the author
uses financial ratios related to fundamental analysis to build a research
model. This study examines and analyzes the effect of financial performance on
stock returns in consumer goods sector companies listed on the Indonesia Stock
Exchange for the 20162021 period. The ratios used are: Liquidity Ratio
represented by current ratio, Activity Ratio represented by total assets
turnover, Profitability Ratio represented by Return on assets, Solvency ratio
represented by Debt to Asset Ratio, and Firm Size.
Current Ratio is used to measure a company's ability to meet its
shortterm debt. Total assets turnover is used to measure the extent of the
company's effectiveness in managing its assets to generate sales or to compare
sales gains with assets owned. Return on assets is used to measure the
company's ability to generate profits for the company with its assets. Debt to
Asset Ratio is used to assess debt to total assets. Firm Size is used to
indicate the size of a company.
To prove the relationship between stock returns and financial
ratios such as curent ratio, total asset turnover, return on assets, and debt
to asset ratio and Firm Size has been done by many researchers. As research
conducted by (Mayuni &
Surrjaya, 2018). from the results
of her research, it is known that Firm Size does not have a significant effect
on stock returns, while research conducted by (Aisah & Mandala, 2016) found that Firm
Size has a significant effect on stock returns.
ï¿½Research conducted by (Basalama et al., 2017) that Current Ratio,
Return on Asset Ratio simultaneously affect stock returns. The results of
different studies were stated by ï¿½(Yuliana &
Artati (2022) where the results
of the study stated that Return on Assets (ROA), Current Ratio (CR), had no
effect on stock returns.ï¿½ Then the
results of Nissa's research (2017) found that Total Asset Turn Over (TATO) has
a positive effect on stock returns. While (Thrisye & Simu. 2013) stated that Total
Asset Turn Over (TATO) on stock returns did not have a significant effect.
Another different study was also put forward by (Hermawan, 2012) who found that the
Debt to Asset ratio has a positive effect on stock returns. This is different
from research conducted by (Wulandari &
Hakiman, 2019), which shows that
the Debt to Asset ratio has no effect on stock returns, It is also different
found in Asian research (2020) where the Debt to Asset ratio has a negative
effect on stock returns. The author was motivated to conduct the study because
of the differences from the results of research conducted by previous
researchers, researchers interested in reconfirming the performance conditions
of the consumer goods sector with the period 2016 to 2021. The selection of a
6year period from 2016 to 2021 is considered representative to describe the
consumer goods sector to be studied.
Another thing that motivates the author to conduct research is
because the stock price of companies in the consumer goods sector shows a
downward tendency as presented in the following chart:
Figure 2. Consumer Goods Index for the Period 2012 ï¿½ 2021
Source :
indonesiainvestments.com, 2022
During the period 2012 to 2021, the consumer goods sector index
showed a decline in recent years, as seen in 2019 to 2020. Although in 2021
there began to increase slightly, this indicates that stock returns have also
decreased. Overall, the consumer goods sector in 2021 Gain/Loss YTD amounted to
8.10%.
METHODS
In this study, the design used was the Normality Research Design.
Habit is the Principle of Cause and Effect.ï¿½
The scope of this research is Shares outstanding on the Indonesia Stock
Exchange (IDX), The stocks used in this study are issuers of the Consumer Goods
sector in the 2016 to 2021 period. The population in this study is the
Coonsumer Goods Company of the food and beverage subsector listed on the
Indonesia Stock Exchange (IDX) for the period 2016 to 2021 with a population of
31 companies for 6 years. In this study, the sampling technique used is
Purposive Sampling, where the sampling determination uses certain criteria.
RESULTS
AND DISCUSSION
Analysis
Panel
Data Registration Model
In
the panel data registration model, testing was carried out to determine the
right registration model in this study. In testing models, three alternative
methods are used, namely Commonï¿½ effect models, Fixed effect models, and Random effect models. The following are
the results of the test:
1.
Common
effect model
Common
effect models are estimators that combine ï¿½time series data with cross sections, namely by using ï¿½the Ordinary Last Square ï¿½approach to estimate the parameters Common effect models ï¿½ignore differences inï¿½ï¿½ individual dimensions or time or ï¿½with other
intentions, namely the behavior of data between individuals is the same in
various time periods. Here are the results of Common effect models:
Table 2. Common Effect Model Estimation Results
Variable 
Coefficient 
Std. Error 
tStatistic 
Prob. 
C 
0.269312 
0.298063 
0.903542 
0.3688 
ROA? 
0.945437 
0.303748 
3.112569 
0.0025 
CR? 
0.002195 
0.006407 
0.342554 
0.7328 
TATTOO? 
0.076770 
0.074399 
1.031859 
0.3051 
DTA? 
0.212059 
0.128584 
1.649195 
0.1028 
SIZE? 
0.028528 
0.030127 
0.946905 
0.3464 
Rsquared 
0.162052 
Mean dependent
var 
0.106181 

Adjusted
Rsquared 
0.112174 
S.D. dependent
var 
0.436805 

S.E. of
regression 
0.411577 
Akaike info
criterion 
1.126700 

Sum squared resid 
14.22925 
Schwarz criterion 
1.293354 

Log likelihood 
44.70152 
HannanQuinn
criter. 
1.193905 

Fstatistic 
3.248981 
DurbinWatson
stat 
2.102537 

Prob(Fstatistic) 
0.009900 



ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½
2.
ï¿½Fixed effect model
In this study using Fixedï¿½ effect Model, where Fixed effect ï¿½model is a method that examines the estimation
of panel data registration parameters, namely by using the technique of adding ï¿½dummy variables, this method is often called ï¿½the Least dummy variable model. The fixed effect model emphasizes that the
intercepts of each individual are different whileï¿½ the slopes
between individuals are the same. In this method, use dummy variables to find intercept differences between individuals.
The following are the results of Fixed
effect Model:
Table 3. Fixed
Effect Model Estimation Results
Variable 
Coefficient 
Std. Error 
tStatistic 
Prob. 
C 
0.574278 
1.559008 
0.368361 
0.7137 
ROA? 
1.656759 
0.379667 
4.363720 
0.0000 
CR? 
0.005218 
0.006450 
0.808992 
0.4213 
TATTOO? 
0.019859 
0.222839 
0.089119 
0.9292 
DTA? 
0.367274 
0.174935 
2.099486 
0.0394 
SIZE? 
0.080800 
0.173355 
0.466098 
0.6426 

Effects
Specification 



Crosssection
fixed (dummy variables) 


Rsquared 
0.370760 
Mean dependent
var 
0.106181 

Adjusted
Rsquared 
0.199967 
S.D. dependent
var 
0.436805 

S.E. of regression 
0.390698 
Akaike info
criterion 
1.151368 

Sum squared resid 
10.68516 
Schwarz criterion 
1.706881 

Log likelihood 
31.81157 
HannanQuinn
criter. 
1.375384 

Fstatistic 
2.170808 
DurbinWatson
stat 
2.572720 

Prob(Fstatistic) 
0.010189 








3.
Random
effect model
The
random effectï¿½ model is a method that uses
differences in the characteristics of individuals with the time that the error
accommodates ï¿½in the model. Then there are two
components that contribute to the formationï¿½
of errors, ï¿½namely individual and time, so random ï¿½errors in the Random effect Model will be broken down into ï¿½errors for
the combined components of time and error.
Here are the results of the Random effect
model:
Table 4. Random Effect Model
Estimation Results
Variable 
Coefficient 
Std. Error 
tStatistic 
Prob. 
C 
0.269312 
0.282943 
0.951827 
0.3439 
ROA? 
0.945437 
0.288339 
3.278904 
0.0015 
CR? 
0.002195 
0.006082 
0.360860 
0.7191 
TATTOO? 
0.076770 
0.070625 
1.087001 
0.2801 
DTA? 
0.212059 
0.122061 
1.737327 
0.0860 
SIZE? 
0.028528 
0.028599 
0.997508 
0.3214 

Effects
Specification 






S.D. 
Rho 
Crosssection
random 
0.000000 
0.0000 

Idiosyncratic
random 
0.390698 
1.0000 


Weighted
Statistics 



Rsquared 
0.162052 
Mean dependent
var 
0.106181 

Adjusted
Rsquared 
0.112174 
S.D. dependent
var 
0.436805 

S.E. of
regression 
0.411577 
Sum squared resid 
14.22925 

Fstatistic 
3.248981 
DurbinWatson
stat 
2.102537 

Prob(Fstatistic) 
0.009900 




Unweighted
Statistics 



Rsquared 
0.162052 
Mean dependent
var 
0.106181 

Sum squared resid 
14.22925 
DurbinWatson
stat 
2.102537 
Panel
Data Registration Model Selection
To
determine the right panel data regression test, the thing to do is to test the
data with all test models. Based on the test results of the model selection, it
can be concluded that the conclusions of the panel data regression model are:
1.
Chow Test
In
this test, there is a selection of models to be used, namely between the common effect model ï¿½andï¿½ the
fixed effect model. The guidelines to
be used in making chow test conclusionsï¿½
are as follows:
H0: The selected model is the Common effect .
Ha
: The selected model is Fixed effect .
If
the Prob number > alpha 5% then Ho is accepted, i.e. the common effect is
chosen. If the Prob number is < or equal to alpha 5% then Ho is rejected,
i.e. Fixed effect is chosen. The following are the test results of the Chow test ï¿½:
Table 5. Chow Model Test Results
Effects Test 
Statistics 
d.f. 
Prob. 

Crosssection F 
1.658414 
(14,70) 
0.0850 

Crosssection
Chisquare 
25.779904 
14 
0.0276 






Based
on the results in table 5 above, it can be seen that the prob crosssection ï¿½value is smaller than 0.05, which is 0.027,
then from these results H_{o }is rejected which means ï¿½the
Fixed Efect model to be selected but a hausman test will be carried
outï¿½ to determine the best results
between theï¿½ Random Effect Model ï¿½or Fixed
Effect Model models.
2.
Hausman Test
In
this test there is a selection of models to be used, namely between Fixed Effect Model ï¿½and Random
Effect Model. The guidelines to be used in making conclusions of the Hausman testï¿½ are as follows:
H0: The selected model is a random effect .
Ha
: The selected model isï¿½ fixed effect.
In
this test it can be seen in the pvalue if the results obtained are less than
5% (Significant) then the estimation model that will be used is Fixed effect, but if the pvalue exceeds 5% (not
significant) then the estimation model that will be used is random effect ï¿½.
The following are the test results of the Hausman
test ï¿½:
Table 6. Hausman Model Test Results
Test Summary 
Chisq. Statistics 
Chisq. d.f. 
Prob. 
Crosssection
random 
15.089850 
5 
0.0100 
Based
on the results in table 6
above, it can be seen that the random crosssection prob value is smaller than
0.05, which is 0.01, then based on these results, theï¿½ model to be selected is the Fixed Effect
Model model, and there is no need to test
the lagrange multiplier because ï¿½the
Fixed Effect Model model has been selected as the best model.
3.
Panel
Data Registration Model Selection Conclusion
Table 7. Conclusion of
registration model selection
Dependent Variables 
Independent
Variables 
Chow Model Test 
Hausman Model Test 
Conclusion 
Stock Price 
Return on assets Curent ratio Debt to total asset
ratio Total Asset turnover Size 
Prob > 0.05 then ï¿½H0_{ }rejected,
estimation using Fixed effect model 
Prob < 0.05 then ï¿½H0_{ï¿½ }rejected, estimation using Fixed effect model 
Estimation using Fixed
Effect model 
4.
Panel
Data Regression Analysis
Panel
Data Registration Analysis in this study uses Fixed Effectï¿½ method for diagram
model. The selection ï¿½of Fixed Effect as a method of panel data
analysis in this study had previously been tested through ï¿½the chowï¿½
test andï¿½ the Hausaman test, so that it was concluded that ï¿½the Fixed Effectï¿½ method ï¿½was the most appropriate for the research
diagram model. The following are the results of data testing using the Fixed Effect Model:
Table
8.
Fixed Effect model Estimation Results
Variable 
Coefficient 
Std. Error 
tStatistic 
Prob. 










C 
0.574278 
1.559008 
0.368361 
0.7137 
ROA? 
1.656759 
0.379667 
4.363720 
0.0000 
CR? 
0.005218 
0.006450 
0.808992 
0.4213 
TATTOO? 
0.019859 
0.222839 
0.089119 
0.9292 
DTA? 
0.367274 
0.174935 
2.099486 
0.0394 
SIZE? 
0.080800 
0.173355 
0.466098 
0.6426 

Effects Specification 



Crosssection fixed (dummy variables) 

Rsquared 
0.370760 
Mean dependent
var 
0.106181 

Adjusted
Rsquared 
0.199967 
S.D. dependent
var 
0.436805 

S.E. of
regression 
0.390698 
Akaike info
criterion 
1.151368 

Sum squared resid 
10.68516 
Schwarz criterion 
1.706881 

Log likelihood 
31.81157 
HannanQuinn
criter. 
1.375384 

Fstatistic 
2.170808 
DurbinWatson
stat 
2.572720 

Prob(Fstatistic) 
0.010189 








From
the Regression results, the constant value of each company for 20162021 was
also obtained, namely with the following results:
Table
9.
Crosssection Fixed Effect

CODE 
Effect 
1. 
AISA 
0.171266 
2. 
ALTO 
0.252564 
3. 
ADES 
0.244649 
4. 
CEKA 
0.029971 
5. 
DLTA 
0.332783 
6. 
ICBP 
0.307312 
7. 
INDF 
0.252851 
8. 
MLBI 
0.491560 
9. 
MYOR 
0.120328 
10 
BREAD 
0.059064 
11. 
SKBM 
0.029215 
12 
SKLT 
0.654600 
13. 
STTP 
0.031216 
14. 
PSDN 
0.451144 
15. 
ULTJ 
0.242296 
ï¿½
Based
on the results of the analysis using eviews 10, the Registration model of this
study can be formulated as follows:ï¿½
Yit
= α1+α2D2+...+αnDn+β1X1i + β2 X2i + ... + β n
Xni+ εi
Yit = 0.574278 + 1.656759 ROAit + 0.005218 CRit + 0. 019859
TATOit ï¿½ 0.367274 DTAit + 0.010189 SIZEit
ï¿½ï¿½ ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ Based
on the equation that has been obtained Above, then the explanation is as
follows:
1.)
The
value of the constant coefficient of 0.574278 means that if all variables ROA,
CR, TATTOO, DAR, and SIZE have a value equal to zero (0), then the dependent
variable namely return will have a value of 0.574278 equal to the constant.
2.)
The
variable Return on assets produces a
probability value of 0.0000 with a positive coefficient of 1.656759 so it can
be concluded that the variable Return on assets has a positive effect on stock returns.
3.)
The
Current Ratio variable produces a
probability value of 0.4213 with a coefficient of 0.005218 so it can be
concluded that the Current Ratio variable has no effect on stock returns.
4.)
The
variable Total asset turnover
produces a probability value of 0.9292 with a coefficient of 0.019859 so it can
be concluded that the variable Total
Asset turnover has no effect on stock returns.
5.)
The
variable Debt to Total Asset Ratio
produces a probability value of 0.0394 with a negative coefficient of 0.367274
so it can be concluded that the variable Debt to Total Asset Ratio has a negative effect on stock returns.
6.)
The
Firm Size variable produces a probability
value of 0.6426 with a coefficient of 0.080800 so it can be concluded that the Firm
Size variable has no effect on stock
returns.
1.
Simultaneous
Test ( Test F)
The F test is used to determine the effect of the
independent variable on the dependent variable in a study simultaneously or
together. Using a significant level of 0.05 Simultaneous Test (Test F) can be
formulated as follows:
If
Prob > 0.05 then_{H0} isï¿½
accepted and H1 is rejected (no significant effect) meaning that Return on assets, Curent Ratio, Debt to
Equity Ratio, and total Asset
turnover simultaneously have no effect on the value of stock returns.
If Prob < 0.05 then H 0_{
isï¿½ }rejected and H1 is accepted (
significant effect) meaning Return on
assets, Curent Ratio, Debt to Equity Ratio, and total Asset turnover simultaneously affect the value of stock
returns.
Table 10. Results of Simultaneous Test Analysis
Dependent Variables 
Independent Variables 
FStatistic Value 
Value of Prob(Fstatistic) 
Stock Return 
Return on assets Curent ratio Debt to Total Asset
Ratio Total Asset turnover Size 
2.170808 
0.010189ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ 
The
results of Test F above show that the value of Prob (Fstatistic) ï¿½is 0.010189
smaller than 0.05. Which means that H0 is rejected and H1 is accepted
(significant effect), where Return on
assets, Curent Ratio, Debt to Total Asset Ratio, total Asset turnover, and
Size simultaneously have a significant
effect on the value of stock returns.
2.
Test
Coefficient of Determination (Test R^{2})
The
Coefficient of Determination (R2) aims to measure how much the percentage of
independent or independent variables in explaining dependent or bound variables
in percent units in a research regression model. The following are the results
of the coefficient of determination test in this study:
Table 11. Test Results of Coefficient of Determination
Dependent Variables 
Independent Variables 
RSquare value 
Adjusted RSquare
Value 
Stock Return 
Return on assets Curent ratio Debt to Total Asset
Ratio Total Asset turnover Size 
0.370760 
0.199967ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ 
Based
on Table 11
above, the RSquare ï¿½value is 0.370760.This shows that 37.07% Stock
Return (Y)ï¿½ is influenced by Return on Assets, Curent Ratio, Debt to
Total Asset Ratio, total asset turnover, and Size, while 62.93% is influenced by other factors outside this
study.
3.
Partial
Test (Test t)ï¿½
According
to (Ghozali, 2011), the t test can show how far the
influence of an independent variable individually (partially) in explaining the
variation of the dependent variable.ï¿½
Here is the testing hypothesis:
H0 accepted: Prob (tstatic) >
0.05 which means that the independent variable has no partial effect on the
dependent variable.ï¿½ï¿½
H1 rejected : Prob (tstatic)
< 0.05 which means that the independent variable has a partial effect on the
dependent variable.ï¿½ï¿½
The
results of the T Test on independent and dependent variables in this study can
be seen as follows:
Table 12. Panel Data Registration Using Fixed Effect Model
Variable 
Coefficient 
Std.error 
TStatistic 
Prob 
C ROA CR DAR TATTOO SIZE 
0.574278 1.656759 0.005218 0.367274 0.019859 0.080800 
1.559008 0.379667 0.006450 0.174935 0.222839 0.173355 
0.368361 4.363720 0.808992 2.099486 0.089119 0.466098 
0.7137 0.0000 0.4213 0.0394 0.9292 0.6426 
Based
on the test results in table 12, it can be explained as
follows:
1.
The
Effect of Return On Assets on Stock
Return
Table 13. ï¿½Return On Assets to Stock Return
Hubs Between Variables 
Coefficient 
Prob 
Conclusion 
Return On Assets to Stock Return 
1.656759 
0.0000 
Positive Influence 
The
results of the Panel Data Registration ï¿½(Fixed Effect Model)ï¿½ show that the relationship between ï¿½Return On Assets and ï¿½Stock Return has aï¿½ probability value below 0.05 (0.0000) with a
coefficient of 1.656759. which means that partially Return On Asset has a positive effect onï¿½ Stock Return.
2.
The
Effect of Curent Ratio on Stock
Return
Table 14.ï¿½ Curent Ratio to Stock Return
Hubs Between Variables 
Coefficient 
Probe 
Conclusion 
Curent Ratio 
0.005218 
0.4213 
No Effect 
The
results of the Panel Data Regration ï¿½(Fxied Effect Model) show that theï¿½ relationship between ï¿½Curent Ratioï¿½ and ï¿½Stock Return hasï¿½ a probability value above
0.05 (0.4213) with a coefficient of 0.005218. which means that partially
Curent Ratio has no effect onï¿½ Stock
Return.
3.
The
Effect of Debt to Total Asset Ratio on
Stock Return
Table 15. Debt to
Total Asset Ratio to Stock Return
Hubs Between Variables 
Coefficient 
Prob 
Conclusion 
Debt to Total Asset
Ratio 
0.367274 
0.0394 
ï¿½negative influence 
The
results of the Panel Data Regration ï¿½(Fixed Effect Model) show that theï¿½ relationship between ï¿½Debt to Total Asset Ratio and ï¿½Stock Return has aï¿½ probability value below
0.05 (0.0394) with a coefficient of 0.367274 which means that partially Debt
to Total Asset Ratio has a negative
effect on ï¿½Stock Return.
4.
The
Effect of Total Asset Turnover on
Stock Return
Table 16. Total
Asset Turnover to Stock Return
Hubs Between Variables 
Coefficient 
Prob 
Conclusion 
Total Asset Turnover 
0.019859 
0.9292 
No Effect 
The
results of the Panel Data Registration ï¿½(Fixed Effect Model)ï¿½ show that the relationship between Total Asset Turnover and ï¿½Stock Return hasï¿½ a probability value above
0.05 (0.9292) with a coefficient of 0.019859. which means that
partiallyï¿½ Total Asset Turnover ï¿½has
no effect onï¿½ Stock Return.ï¿½
5.
The
Effect ofï¿½ Firm Sizeï¿½ on Stock Return
Table 17. Firm Size
to Stock Return
Hubs Between Variables 
Coefficient 
Prob 
Conclusion 
Firm Size 
0.080800 
0.64226 
No Effect 
The
results of the Panel Data Regration ï¿½(Fixed Effect Model) show that theï¿½ relationship between ï¿½Firm Size and ï¿½Stock Return hasï¿½ a probability value above
0.05 (0.6426) with a coefficient of 0.080800. which means that partially Firm
Size ï¿½has no effect onï¿½ Stock Return.ï¿½ï¿½ï¿½
ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½
Discussion
Based
on the results of the research described above, this subchapter will explain
the results of the tests carried out.ï¿½
The discussion was carried out by describing the strong influence
between independent variables consisting of Return
on Assets, Curent Ratio, Debt to total Asset Ratio, total asset turnover,
and Size onï¿½ stock returns
for the period 2016 to 2021. Then the explanation of the influence between
variables will then be compared with the empirical evidence obtained and the
theory that supports the hypothesis. The following are the stages of
discussion:
The
Effect of Return on Assets on Stock Return
Return on Assets describes a company's ability
to generate probabilities. The
increasing Return on Assets means the
company's performance is in good condition, because the company can utilize the
assets owned very well. So that it can make investors interested in investing
in the company which will makeï¿½ stock returns rise.
This
shows thatï¿½ the return on assets seems fully supportive for improving the
performance of consumer goods
industry companiesï¿½ listed on the IDX in
20162021. The results of this study also support the results of previous
research conducted by (Dewi, 2018) which also proves that Return on Assets affects ï¿½stock
returns. A positive return on assets indicates that the capital invested in
all assets to be used for the company's operations is able to provide profits
for the company. This can make investors place this ratio when determiningï¿½ stock returns
so thatï¿½ Return on assets ï¿½affects stock returns.
The
Effect of Curent Ratio on Stock
Return
Based
on theory, the higher the value of the current ratio, the more current assets owned by the company compared to the
amount of current liabilities that must be paid off. However, companies
thatï¿½ have a high current ratio do not
necessarily have high stock returns also because a high currentï¿½ ratio does not
always have a good impact on the company because ï¿½a high Curent ratio ï¿½can indicate a large amount of funds that are
installing, which in turn can reduce the company's ability to earn profits (Sawir, 2019). Reduced ability of a company
to generate profits will make investors assume thatï¿½ the returns to be generated by the company will also be small. if this happens then
the direction ï¿½of the Curent ratio effect onï¿½
stock returnsï¿½ becomes
inconsistent and depends on the effectiveness of the company in using its
current assets. This can make investors rarely put this ratio when
determiningï¿½ stock returns so thatï¿½ the Curent Ratio has no effect on stock
returns.
The
results of this study found that the
Curent Ratio has no effect onï¿½ stock returns (Y). Results This study is in
line with the results of previous research conducted by (Yuliarti & Diyani, 2017) which also proved that the Curent Ratio has no significant effect
on ï¿½stock returns.
The
Effect of Debt to Total Asset Ratio on
Stock Return
Debt to Total Asset Ratio ï¿½is a ratio used to measure the ratio between
total debt and total assets. From the results of these measurements, if it
turns out that the ratio is high, the funding of assets with more debt which
will be more difficult for the company to get additional loans because it is
feared that the company will not be able to pay the debt debt owned with the
assets owned. Conversely, ifï¿½ the Debt to Asset Ratio is low, the smaller
the company's assets are financed by debt. This can make investors place this
ratio when determiningï¿½ stock returns so thatï¿½ the Debt
to Total Asset Ratio ï¿½has a negative
effect on stock returns.
The
results of this study state that ï¿½the Debt to Total Asset Ratio ï¿½has a negative effect on stock return (Y), whereï¿½
the Debt to total asset ratio partiallyhas a negative effect on ï¿½ï¿½stock returns.
The results of this study are in line with the results of previous research
conducted by Asia (2020) also proving that the Debt to Total Asset Ratio has a negative effect on ï¿½stock
returns.
The
Effect of Total Asset Turnover on
Stock Return
Total Asset Turnover serves to measure the
company's ability to generate sales from its total assets by comparing net
sales with total average assets. The faster the level of asset turnover of a
company, the amount of profit generated will also be high, and vice versa the
longer the level of asset turnover of a company, the amount of profit generated
will also be lower. This can make investors rarely put this ratio when
determiningï¿½ stock returns so that Total Asset
Turnover does not affect stock returns.
Although
the results ofï¿½ the partial Total Asset Turnover studyï¿½
cannot be said to be in accordance with the singalling theory, this
result also shows that investors will also consider other financial ratios when
placing investments. In this case, the effect of Total Asset Turnover must be viewed holistically together with
other variables.
The
results of this study state that Total
Asset Turnover has no effect onï¿½
stock Return (Y). The results
of this study are in line with the results of previous research conducted by (Hanivah &
Wijaya, 2018) which also proved that Total Asset Turnover has no effect on ï¿½stock
returns.
The
Effect of Firm Size on Stock Return
Firm Size is a scale where can be
classified large and small a company from total assets, net sales, and basic
capitalization of the company, Larger company size will help make it easier to
obtain additional funds in the capital market compared to small companies. But
investors also should not only look at the size of the company, because
largesized companies do not always have large total assets derived from the
capital owned by the company, because the capital owned by the company can also
be sourced from loan funds that later must be paid which can result in small
stock returns. This can make investors rarely put this ratio when determiningï¿½ stock returns
so that Firm Size does not affect
stock returns.
The
results of this study state that Firm
Size has no effect onï¿½ stock Return (Y). This research is in line
with the results of previous research conducted by (Mayuni & Suarjaya, 2018) which also proved that Firm Size has no effect on ï¿½stock
returns.
CONCLUSION
ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ Based on the results of the above research related to the
effect of Liquidity, Activity, Profitability, Solvency, and Firm Size Ratios on
the return of shares in the consumer goods sector listed on the Indonesia Stock
Exchange for the 20162021 period, which has previously been described through
the introductory subchapter, theoretical studies, data processing, and the
discussion discussed in the previous chapter, the following conclusions can be
described: (1) Return on Assets has a significant positive
effect on stock returns.ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ï¿½ (2) Curent ratio has no effect on
stock returns. (3) Debt to total Asset Ratio has a
negative effect on stock returns. (4) Total Asset turnover has no
effect on stock returns. (5) Firm Size has no effect on
stock returns. Variable
Profitability proxied by Return on Asset and Variable Solvibility proxied Debt
to Total Asset Ratio can be used as one of the signals for investors in the capital market to invest
in shares The stock will later be able to increase the company's valuation.
While other variables such as Curent ratio, Total asset ratio, and Size
although not influential but if used with other influential variables it can be
a complementary variable that helps increase accuracy in making decisions.
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