IMPACT OF FINANCIAL PERFORMANCE AND MARKET RETURN TO STOCK RETURN : EMPIRICAL STUDY IN INDONESIA STOCK EXCHANGE

Assagaf, Aminullah and Yunus, Eddy and Indrasari, Meithiana IMPACT OF FINANCIAL PERFORMANCE AND MARKET RETURN TO STOCK RETURN : EMPIRICAL STUDY IN INDONESIA STOCK EXCHANGE. In: EMPIRICAL STUDY IN INDONESIA STOCK EXCHANGE. (Submitted)

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Abstract

This study aimed to analyze the influence of investment opportunity set, the level of leverage and the return of stock market returns. Selection factors or independent variables were based on agency theory and signaling theory which suggests that the shareholders aim to maximize the value of the company is characterized by an increased share price stretcher companies in the capital market. While the decision of investors in the capital market in addition to using financial statement data and other data presented, it also uses the signal approach in making investment decisions. To support this analysis, then in this empirically used secondary data in a timeframe of ten years by selecting a sample of 20 companies classified as the most active companies traded shares in brackets the last six months or August 2015 to January 2016. The analytical method used is to statistical approach through a linear regression model. The results of this study found that investent opportunity set that is proxied as growth in assets, capital expenditure, and the ratio of investment to earnings, the effect turns negative and significantly the effect on stock returns. This study uses a model be some analysis, and the results are consistent, so it can be stated that the policy of adding asset management and capital expenditure does not affect the decision invetor in stock transactions in the capital market. Variable levels of leverage and market return variable and seginifikan positive effect on stock returns, so that changes in these variables will trigger the growth of stock prices or increase stock returns. Tests using several models of analysis, the result was consistent, especially as investors are very concerned about these two variables. Variable levels of leverage shows that with increased leverage impact on the attainment of the dividend per share has been increasing as the profitability of the company is only enjoyed by shareholders in a limited number. While the market return variable gives a signal about the company's overall condition is listed on the Stock Exchange, so that the growth stock index or market return significant effect on stock returns. keyword: Agency Theory, Signalling Theory, Financial Performance and Capital Asset Pricing Model.

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