THE INFLUENCE OF FUNDAMENTAL FACTORS ON STOCK RETURNS OF COMPANIES LISTED ON THE INDONESIA STOCK EXCHANGE (Case Study in the Construction Materials Sub-Industry)
Keywords:
Stock Returns, Current Ratio, Debt to Equity Ratio, Total Assets Turnover, Return on Assets, Construction Materials, Panel Data.Abstract
This study aims to analyze the influence of fundamental factors proxied by Current Ratio (CR), Debt to Equity Ratio (DER), Total Assets Turnover (TATO), and Return on Assets (ROA) on stock returns in construction materials sub-industry companies listed on the Indonesia Stock Exchange (IDX) for the 2020-2025 period. The research population includes 12 companies, with the sample selected using the purposive sampling method, resulting in 9 companies with a total of 54 observations over 6 years. The analysis method used is panel data regression with the Common Effect Model (CEM) approach, selected through the Chow Test. To address heteroscedasticity issues, this study applies the Panel Estimated Generalized Least Squares (EGLS) method with Cross-section Weights. The partial test results (t-test) show that Liquidity (CR) has a significant positive effect on stock returns, indicating that investors appreciate the company's ability to maintain short-term financial security during a crisis. Conversely, Activity (TATO) has a significant negative effect, reflecting a price war strategy amidst industry oversupply conditions that was negatively received by the market. Meanwhile, Solvency (DER) and Profitability (ROA) were found to have no significant effect, showing that debt levels and historical profits were not the primary considerations for investors during this period of economic turbulence. The Adjusted R-squared value of 16.95% indicates that internal fundamental factors have a limited influence, while the remaining 83.05% is influenced by external factors such as government infrastructure policies and macroeconomic sentiments.
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