Open Access
Article
SciPap-1693
Determinants of LQ45 Stock Return in Indonesia
by
Mahirun Mahirun 1,* 
1 Faculty of Economics and Business, Universitas Pekalongan, Jl. Sriwijaya No. 3, Pekalongan 61111, Indonesia
* Authors to whom correspondence should be addressed.
Abstract: This study aims to test and analyze the effect of capital structure, profitability, investment opportunity set, firm value, earnings per share, and dividend policy, on stock returns. Our research uses regression analysis to determine and analyze the influence of independent variables on dependent variables. The objects in this study are companies incorporated in LQ45 for the period 2013 - 2021. The reason for choosing LQ45 is because it is a type of index used to measure the price performance of stocks that have high liquidity and large market capitalization and are supported by good firm fundamentals. The results of the study found that the capital structure with indicators debt to equity ratio has a significant negative effect on stock return. Profitability with indicators return on equity and investment opportunity set with indicators price earning ratio have a positive and significant effect on stock return. While other findings from our study are firm value with price to book value indicators, profitability from the investor's point of view represented by earning per share indicators, and dividend policy with dividend payout ratio indicators have no effect on stock return.
Keywords: Profitability, Capital Structure, Firm Value, Stock Return, Investment Opportunity Set, Earning Per Share, Dividend Policy
JEL classification: B26 - Financial Economics, G32 - Financing Policy • Financial Risk and Risk Management • Capital and Ownership Structure • Value of Firms • Goodwill, I22 - Educational Finance • Financial Aid, O16 - Financial Markets • Saving and Capital Investment • Corporate Finance and Governance, P45 - International Trade, Finance, Investment, and Aid
Received: 20 May 2023 / Revised: 27 September 2023 / Accepted: 17 October 2023 / Published: 20 October 2023
