Pengaruh Faktor Rasio Keuangan terhadap Return Saham pada Sektor Properti di Indonesia Tahun 2010-2024

Abstract

The Indonesian capital market has experienced significant growth over the past decade, marked by an increase in the number of investors, market capitalization, and issuers. Stocks, as the dominant instrument on the Indonesia Stock Exchange, make stock returns the main indicator in assessing investment performance. Amid this growth, the property sector exhibits unique characteristics: it is strategic but highly sensitive to economic dynamics. Sharp fluctuations in the returns of this sector, especially during the COVID-19 pandemic crisis, reflect the importance of examining the influence of fundamental factors on its performance. This study aims to analyze the effect of financial ratio factors on stock returns in property companies listed on the Indonesia Stock Exchange (IDX) during the period 2010-2024. The analysis method used is panel data regression using the Common Effect Model (CEM) approach. Partially, ROE has a negative effect on stock returns, indicating that company profitability is not a key indicator in the property sector. EPS and PER have a positive and significant effect on stock returns. DER has a negative but insignificant effect, reflecting that property sector investors are more focused on liquidity and cash flow management than debt ratios. Firm size has a negative and insignificant effect, indicating that large companies tend to generate lower returns because they are considered to have more stable but limited growth. The simultaneous test results show that the combination of ROE, EPS, DER, PER, and Firm Size has a significant effect on stock returns, with a coefficient of determination (R2) of 11.76%, which means that most of the variation in stock returns is explained by factors other than those in this study. These findings have practical implications for investors to evaluate financial ratios comprehensively and use them as a reference in investment decision-making.