Asset, Capital Structure, Liquidity, Firm Size’s Impact on Stock Return

Abstract

The aim of this study is to analyze the effect of  Asset and Capital Structure, Liquidity and  Firm Size on Stock Return of companies grouped as LQ-45 index listed in Indonesia Stock Exchange (IDX) during 2015 up to 2019 period. The research involves the secondary data in the form of financial annual report collected from IDX website,  sample used is purposive sampling and research object is Asset and Capital Structure, Liquidity and Firm Size as independent variables and Stock Return as dependent variable while analyzing used SPSS 2.0,  E-views 9.0 version. The result shown that when Stork Return measured by market price, Firm Size affects significantly on Stock Return, meanwhile Asset Structure, Capital Structure, Liquidity does not and Firm Size does not moderate the relation between Asset Structure, Capital Structure, Liquidity and Stock Return. But when Stock Return measured by Return on Equity (ROE) it is found that Capital Structure, Liquidity and Firm Size affect Return on Equity, meanwhile Asset Structure and Firm Size also moderates the relation between Asset Structure, Capital Structure, Liquidity and ROE. This finding implies that firm management must pay attention on market measurement performance in their strategy to achieve company goals. The originality of this study is that about the period as the last 5 years and the research object of companies grouped as LQ-45 index and measurement comparation between book value and market value of stock return.