The Effect of Book to Market Ratio, Profitability, and Investment on Stock Return

International Journal of Economics and Management Studies

© 2020 by SSRG - IJEMS Journal

Volume 7 Issue 6

Year of Publication : 2020

Authors : B. Yuliarto Nugroho

10.14445/23939125/IJEMS-V7I6P114

How to Cite?

B. Yuliarto Nugroho, "The Effect of Book to Market Ratio, Profitability, and Investment on Stock Return," SSRG International Journal of Economics and Management Studies, vol. 7,  no. 6, pp. 92-96, 2020. Crossref, https://doi.org/10.14445/23939125/IJEMS-V7I6P114

Abstract:

The objective of this study is to examine the effect of a book to market ratio, expected profitability, and expected Investment on stock return. This study uses data of listed non-finance sector companies in the LQ-45 Indonesian Stock Exchange for the period 2008-2017. Expected profitability associated with ROA value and expected Investment associated with the growth of assets. The analysis method used in this study is a regression model with panel data. This study found that book to market ratio has a significant positive effect on stock return. Return on Assets (ROA), as a proxy of expected profitability, also has a significant effect on stock return. Unlike the other variables, growth of assets, as a proxy of expected Investment, has a not significant adverse effect on stock return.

Keywords:

Book to Market Ratio, Profitability, Investment, Stock Return, Return on Asset (ROA), Indonesian Stock Exchange.

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