Abstract
This study aims to analyze the Effect of Dividend Policy, Economic Value Added (EVA), Market β and Firm Size on Stock Return and the existence of Firm Size in moderating these effects of blue-chip stock category listed in Indonesia Stock Exchange (IDX) during 2015 up to 2019 period. This study is a confirmatory research involving secondary data collected from annual report available at IDX website. The sample used is purposive sampling and research object is Dividend Policy, EVA, Market β and Firm Size as independent variables and Stock Return as dependent variable, and Firm Size as moderates variable. The analysis is performed using E-views 11.0 version. The result shows that Dividend Policy has significant negative effects while EVA and Market β has no effect on Stock Return. In addition, Firm Size moderates the relation between Dividend Policy and Stock Return, while having no moderating effect to the relation between EVA, Market β and Stock Return. The findings of this research imply that, for high stock performance like blue-chip stock, Dividend Policy affects the Stock Return and Firm Size moderates this effect.
Highlights
1.1 The BackgroundMany parties have interest on stock return information, both existing and potential investor, as well as the management and the state
The effect of independent variables represented by Dividend Policy, Economic Value Added, and Market β on Stock Return are not strong
Firm Size has significant positive effect in moderating the relation between Dividend Policy and Stock Return, while Firm Size has no significant effect in moderating the relation between Economic Value Added, Market β and Stock Return
Summary
Many parties have interest on stock return information, both existing and potential investor, as well as the management and the state. The knowledge on factors affecting stock return assists management decision making to ensure that the company create value for investors, stock return performance. Stock return is affected by multiple factors. Harper (2019) asserted that there are three factors consisting of fundamental, technical and market sentiment. Most studies on stock price ignore the market sentiment factors due to the complexity of measuring such element. Fundamental and technical factors that affected stock return consisted of many variables. Among those factors, there are four variables, which are Dividend Policy, EVA, Market β and Firm Sizes, providing variation in result, inconsistencies in multiple studies
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