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

B. Yuliarto Nugroho

doi:https://doi.org/10.14445/23939125/IJEMS-V7I6P114

Research Article | Open Access

Volume 7 | Issue 6 | Year 2020 | Article Id. IJEMS-V7I6P114 | DOI : https://doi.org/10.14445/23939125/IJEMS-V7I6P114

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

B. Yuliarto Nugroho

Citation :

B. Yuliarto Nugroho, "The Effect of Book to Market Ratio, Profitability, and Investment on Stock Return," 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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