FUNDAMENTAL AND TECHNICAL DETERMINANTS OF STOCK RETURNS

Abstract

A potential investor needs stock return data to know how much the company will generate capital loss, capital gain, and dividend from the company's income. The purpose of this study is to identify factors that affect stock returns simultaneously and partially. The factors tested in this study include Return on Asset (ROA), Return on Equity (ROE), Debt to Equity Ratio (DER), and Rupiah Exchange Rate. The type of data used by the author in this study is secondary data by collecting data from financial reports published by the Indonesia Stock Exchange website. The population of this study includes all Food and Beverage sub-sector manufacturing companies listed on the Indonesia Stock Exchange in 2022 with a total of 84 companies. The sample of this study was taken from 21 companies using purposive sampling as a sampling method. The data collection method used by researchers is documentation, namely by collecting data through articles, journals, and financial reports. The analysis in this study uses descriptive analysis methods, classical assumption tests, coefficient of determination analysis, multiple linear regression equation models, hypothesis testing    (t test, partial) and f test (goodness of fit). The data source obtained is secondary data in the form of the results of previous research journals that are in line with this research by making observations from the official websites of the Indonesia Stock Exchange and Bank Indonesia. The results of this study indicate that return on assets, return on equity, debt to equity ratio, and rupiah exchange rate simultaneously affect stock returns. Partially, return on assets and debt to equity ratio have no effect but are significant to stock returns, return on equity has a significant effect on stock returns, and the rupiah exchange rate has no significant effect on stock returns.