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All Journal Indonesian Financial Review
Iman Lubis
Pamulang University
Economics, Econometrics & Finance

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Effect of Return on Equity and Debt to Equity Ratio to Stock Return Iman Lubis; Farida Nur Alfiyah
Indonesian Financial Review Vol. 1 No. 1 (2021)
Publisher : YPPP AL-AMSI

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (437.758 KB) | DOI: 10.55538/ifr.v1i1.3

Abstract

This study aims to see the effect of the effect of Return on Equity (ROE) and Debt to Equity Ratio (DER) on Stock Return. Research type in quantitative research. The research method used is the multiple linear regression method, with the variable X_1 Return On Equity (ROE), the variable X_2 Debt To Equity Ratio and the variable Y Stock Return. Collecting data in this study using descriptive analysis techniques. The documents used are financial reports from 2009 to 2018 which are listed on the Indonesia Stock Exchange. The results of the partial test research (t test) show that there is a positive and significant influence between the Return on Equity (ROE) of Stock Return, it can be seen from the value of t count 2.598> t table 2.365, with a significance value of 0.044 <0.05 can be obtained from Ho1 rejected and Ha1 accepted. Then the results of the Partial Test (t test) show that there is a negative and insignificant influence between the Debt To Equity Ratio (DER) on Stock Returns, it can be seen from the value of tcount -0.228 > ttabel -2.365, with a significance value of 0.825> 0.05 then it can be obtained that Ho2 is accepted and Ha2 is rejected. Furthermore, the results of the research simultaneously (Test f) show that there is no significant influence between Return On Equity (ROE) and Debt To Equity Ratio (DER) on Stock Return, it can be seen from the value of the value of 3.060 <ftabel 4.46 with a significance value. 0.111. Because the significant value is greater than 0.111> 0.05, it can be concluded that Ho3 is accepted and Ha3 is rejected.
Higher Order Moment of IDXNONCYC on Stock Return PT Nippon Indosari Corpindo Tbk Predictability Iman Lubis; Syamruddin Syamruddin; Andi Sopandi
Indonesian Financial Review Vol. 2 No. 1 (2022)
Publisher : YPPP AL-AMSI

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.55538/ifr.v2i1.11

Abstract

This study predicts the stock return's of PT Nippon Indosari Tbk with higher order moment of IDXNONCYC. The research method used is time series. Data used are ratios. The tool used is GARCH (1,1). The results are the IDXNONCYC coskewness and cokurtosis lag 1 are significant predicting the stock return’s PT Nippon Indosari Corporindo Tbk. However, IDXNONCYC risk premium lag 1 short fall to predict .
Does Downside Risk Matter more in Asset Pricing? Evidence from Indonesia Iman Lubis; Nailin Nikmatul Maulidiyah
Indonesian Financial Review Vol. 2 No. 2 (2022)
Publisher : YPPP AL-AMSI

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.55538/ifr.v2i2.21

Abstract

This study examines downside risk matters in asset pricing, particularly evidence from Indonesia. Using ten reference indexes for passive instruments and 674 companies listed on the Indonesia Stock Exchange between 2020-2021. The four measurements are the traditional families (beta and standard deviation/risk) and downside risk families (semi-deviation and downside beta). For those, we divide 674 stocks into quintiles (5 groups). Every quintile is investigated by four measurements using Fama-Macbeth regression. semi-deviation in those close to standard deviation. Standard deviation affects semi-deviation portfolios in quintiles 1 and 2 and portfolios sorted beta and downside beta in quintile 2. Beta does not affect all portfolios. Eighth, semi-deviation affects portfolios sorted semi-deviation in quintiles 1,2,3,and 5. Downside beta does not affect all portfolios.
Co-Authors Andi Sopandi Farida Nur Alfiyah Nailin Nikmatul Maulidiyah Syamruddin Syamruddin