ANALYSIS OF THE EFFECT OF FIRM SIZE, GROWTH, TANGIBILITY, LIQUIDITY, AND PROFITABILITY ON STOCK RETURN WITH DEBT LEVEL AS INTERVENING VARIABLES ON LQ45 SHARES IN INDONESIA STOCK EXCHANGE

Abstract

At the moment, investment is primarily defined as capital investment, and it has an essential meaning in the domestic and global economy. One of the investment types selected by society is the stock investment in the capital market. Investing in the capital market requires a barometer to provide investors with a general illustration of the stock price index. One of the stock indices in the Indonesia Stock Exchange is LQ45. The LQ45 index measures the price performances of 45 stocks with high liquidity and big market capitalization supported by the excellent company fundamental aspect. The study aimed to discover the effect of Firm Size, Growth Tangibility, Liquidity, and Profitability on Stock Return with Debt Level as the intervening variable in LQ45 stocks. This study is expected to provide suggestions and considerations for LQ45 firms to decide to improve the company stock return. The study employed a quantitative method with data processing using SPSS. The data collection was carried out using Company Public Financial Statements from the IDX website. Sample criteria were non-banking firms listed in LQ45 from 2014-2018. The study results reveal that seven variables mainly influenced Debt Level and Stock Return, i.e., Firm Size has a significant negative effect on Debt Level with statistic t-value (-2.362) and sig. value (0.019); Firm Size has a significant positive effect on Stock Return with statistic t-value (2.288) and sig. value (0.023); Growth has a significant positive effect on Debt Level with statistic t-value (3.779) and sig. value (0.000); Tangibility has a significant negative effect on Debt Level with statistic t-value (-5.520) and sig. value (0.000); Tangibility has a significant positive effect on Stock Return with statistic t-value (2.161) and sig. value (0.032); Liquidity has a significant negative effect on Debt Level with statistic t-value (-7.581) and sig. value (0.000); Profitability has a significant negative effect on Debt Level with statistic t-value (-3.158) and sig. value (0.002). Therefore, investors should consider these variables to increase Debt Level and Stock Return.