Abstract
This research aims to revealed the affect from financial ratios to Altman Z-score model on stock returns in automotive sub-sector companies and its components that listed on the IDX. The research outcome shows in accordance with panel data regression results the WCTA variable on stock returns had a positive and significant affect, this could be cause of the large number of speculative investors who invest for long term so they could see the WCTA ratio for consideration in assessing the stock returns, the RETA variable on stock returns had a positive and significant affect, this could be cause of investors do not really considering the dividends or profits which distributed to larger shareholders so the investors would see the ratio of RETA when consideration the stock return appraisal, the EBITTA variable on stock returns had a positive and significant affect, this is because some investors see this ratio to revealed the company's ability to earned profits from assets before debt and tax payments because if the EBITTA ratio decrease, the stock return value would also decrease and it does conversely if EBITTA increase, the stock return value would increase. The MVEBTL variable on stock returns had a positive and significant affect because if the MVEBTL ratio decrease, meaning that there has an increase in the company's total debt and this ratio would illustrates the company's ability to fulfill its obligations from its own capital market value (common stock) and certainly this would be the one that would be the attention of investors before evaluating the stock returns.
Highlights
Globalization which occurs today in all aspects of life, especially the economic sector, greatly affects the business world both international and national scope in Indonesia
The average value from the X1 variable data was 0.12 or 12%, meaning that the average value of Working Capital to Total Asset (WCTA) in automotive sub-sector companies and its components that listed on the Indonesia Stock Exchange in 2014-2018 every 1% of assets would be able to earned an average working capital of 12%
The average Retained Earnings to Total Assets (RETA) variable data was 0.04 or 4%, which means that the average retained earnings resulting from the total assets of the automatic sub-sector companies and its components that listed on the Indonesian Stock Exchange was around 4%
Summary
Globalization which occurs today in all aspects of life, especially the economic sector, greatly affects the business world both international and national scope in Indonesia. Indonesia has the second largest car manufacturing industry in Southeast Asia and in ASEAN region after Thailand, because it is highly dependent on foreign direct investment, especially from automotive base countries such as Japan. Available Online: https://dinastipub.org/DIJEFA (GDP) by 20 percent. This statement is supported by data issued by GAIKINDO regarding Wholesales, Retail Sales and Production activities which have increased from 2017-2018. The development of average stock returns in automotive companies and its components from year to year has fluctuated (unstable). The development of average stock returns per year from 2014 was 0.015, 2015 was 0.06, 2016 was 0.06, 2017 was 1.41, 2018 was 0.24 and 2019 was 0.022
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