DETERMINANT OF STOCK RETURNS WITH INFLATION AS A MODERATING VARIABLE

Abstract

One of the considerations of investors before investing their capital is to look at the company's financial performance. The variables used to view financial performance in this study are profitability, liquidity, and leverage, and macroeconomic variables, namely inflation as a moderating variable. The object of research is the consumer goods industry sector companies listed on the Indonesia Stock Exchange (IDX) for 6 years (2013-2018). Data needs to be analyzed obtained from the company's financial statements published through IDX and ICMD (Indonesia Capital Market Directory). The analytical tool used is multiple linear regressions and MRA (Moderate Regression Analysis).Based on the results of the analysis it is known that there is a determinant of stock returns which is further strengthened by inflation with a coefficient of determination from 18.3% to 24.3%. The results showed that return on equity as a positive and significant determinant of stock returns, current ratio as a negative and significant determinant of stock returns, debt to assets ratio as a positive and significant determinant of stock returns, debt to equity ratio as a negative and significant determinant of stock returns stock returns, price earnings ratio as a positive and significant determinant of stock returns. While the moderating variable which is proxied by inflation is only able to moderate (strengthen) the debt to assets ratio as a determinant of stock returns and the debt to equity ratio as a determinant of stock returns. The results of this study are expected to make an empirical contribution to the determinants of stock returns by considering the impact of inflation that occurs and become a basis of reference for investors before investing their capital.