The Influence Of Stock Characteristics On Return In Consumer Goods Industry Companies

Nanlohy, Ivan Alexander and Mahadwartha, Putu Anom and Herlambang, Arif (2018) The Influence Of Stock Characteristics On Return In Consumer Goods Industry Companies. Manajemen dan Bisnis, 17 (1). pp. 35-46. ISSN 1412-3789; e-ISSN 2477-1783

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Abstract

This study aims to determine the influence of stock characteristics with stock returns on consumer goods industry companies listed on the Indonesian Stock Exchange period 2011- 2015. Stock characteristics are illiquidity, size, beta, risk and dividend yield. This study uses quantitative approach by using multiple linear regression method in the form of panel data. This study uses a sample of consumer goods industry companies listed on the Indonesia Stock Exchange period 2011-2015. The number of samples used in this study is 125 years of observation consisting of 25 companies. The finding of this study indicates that the influence of stock characteristics with stock returns. Illiquidity has no significant positive effect on stock return. Size has no significant positive effect on stock return. Beta has a significant positive effect on stock return. Risk has a significant negative effect on stock return. Dividend yield has a significant negative effect on stock return. Penelitian ini bertujuan untuk mengetahui adanya pengaruh karakteristik saham dengan return saham pada perusahaan industri barang konsumsi yang tercatat di Bursa Efek Indonesia periode 2011-2015. Karakteristik saham yaitu illiquidity, size, beta, risk dan dividend yield. Penelitian ini menggunakan pendekatan kuantitatif dengan menggunakan metode regresi linear berganda dalam bentuk data panel. Penelitian ini menggunakan sampel berupa perusahaan industri barang konsumsi yang tercatat di Bursa Efek Indonesia periode 2011-2015. Jumlah sampel yang digunakan dalam penelitian ini adalah sebesar 125 tahun observasi yang terdiri dari 25 perusahaan. Temuan penelitian ini menunjukan bahwa adanya pengaruh karakteristik saham dengan return saham. Illiquidity berpengaruh positif tidak signifikan terhadap return saham. Size berpengaruh positif tidak signifikan terhadap return saham. Beta berpengaruh positif signifikan terhadap return saham. Risk berpengaruh negatif signifikan terhadap return saham. Dividend yield berpengaruh negatif signifikan terhadap return saham.

Item Type:	Article
Uncontrolled Keywords:	Stock Characteristics, Stock Return, Illiquidity
Subjects:	H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management
Divisions:	Faculty of Business and Economic > Department of Management
Depositing User:	Ester Sri W. 196039
Date Deposited:	06 Dec 2022 09:11
Last Modified:	01 Feb 2023 07:27
URI:	http://repository.ubaya.ac.id/id/eprint/42928

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