THE EFFECT OF NET PROFIT MARGIN, PRICE TO BOOK VALUE AND FIRM SIZE ON STOCK RETURNS IN LQ45 INDEX
Keywords:
Net Profit Margin, Price to Book Value, Firm Size, Stock ReturnAbstract
This study investigates the effect of Net Profit Margin (NPM), Price to Book Value (PBV), and firm size on stock returns of companies listed in the LQ45 index from 2020 to 2023. The research uses secondary data obtained from the annual financial statements of selected firms and applies purposive sampling to determine the study sample. Multiple regression analysis was conducted using EViews 12 to assess both partial and simultaneous effects of the independent variables on stock returns. The findings reveal that NPM and PBV have a significant positive influence on stock returns, indicating that companies with higher profitability and stronger market valuation tend to deliver better returns to investors. In contrast, firm size does not show a statistically significant effect on stock returns, suggesting that larger asset bases do not necessarily guarantee higher performance in the stock market during the observed period. These results imply that NPM and PBV can serve as useful indicators for investors when evaluating investment opportunities within the LQ45 index. For future research, it is recommended to incorporate macroeconomic variables such as inflation, interest rates, or exchange rates, and to expand the analysis to other sectors or broader stock indices with longer time horizons to provide more comprehensive insights into stock return behavior
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