Abstract
The purpose of this study was to analyze the effect of profitability and earnings per share on stock returns and the role of size as a moderating variable in state-owned companies listed in the Indonesia Stock Exchange (IDX) in the period of 2011-2016. By using purposive sampling, the number of samples included 18 companies. Method was conducted by downloading summary of financial statements in the Indonesia Stock Exchange. The research began with classical assumption test, multiple linear regression analysis was done with the absolute difference test. The research found that profitability had no effect on stock return. Earnings per share and size had a significant negative effect on stock return. The role of size as a moderating variable strengthened the relationship of earnings per share with stock returns, but it did not play a role in the relationship of profitability with stock returns.
Highlights
The capital market in Indonesia as a container can awaken spirit, create or use it to build a more equitable and better economy that provides direct benefits to society
In order to avoid multiple interpretation, it would be described in detail such as stock return was percentage of current year closing stock price divided by last year’s closing stock price (Tandelilin, 2010), return on asset was percentage of net profit divided by total asset of the current year (Ang, 1997), earnings per share was the percentage of net income divided by the number of shares outstanding in the current year (Ang, 1997), and size was the total asset logarithm of the current year
Based on the test results, it indicated that profitability had no significant effect on stock return of state-owned companies listed in Indonesia Stock Exchange (IDX) period 2011-2016
Summary
The capital market in Indonesia as a container can awaken spirit, create or use it to build a more equitable and better economy that provides direct benefits to society. Its presence is very important for companies and investors. Companies that need funds can sell stocks and bonds to fund the activities of the company, while investors who have excess funds can invest in the capital market to get a return. Investors are very fond of the high income from each investment. Before they invest their funds, they need to do an analysis of the condition of the company to predict the future stock price in order for their expectations to be achieved. There are several sources of information that can be used to predict future stock prices such as the financial statements and economic conditions of a country. Investors need to consider the risks both systematic and nonsystematic. The difference in information between managers and investors can lead to losses for investors
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