INTERVENING VARIABLE LEVERAGE IN THE DETERMINANT STOCK RETURN

Abstrak

This research is intended to analyze and answer the inconsistencies in previous research results as well as the phenomenon of stock returns that are not as described in the Efficient Capital Markets theory. This is what prompted the research to do it again with a different time series and cross-sectional. This type of research is quantitative descriptive with a panel data multiple regression analysis method using 27 sample companies included in the LQ-45 index for five years. This research formula is to maximize the Stock Return value through leverage as an intervening variable using research objects of companies on the Indonesia Stock Exchange. Two research models are integrated into one and each goes through model selection test stages, Chow Test, Hausman Test, and Lagrange Multiplier Test. Results in the first model; An increase in ROA can explain the impact on increasing Leverage (DER), these results confirm that this is not the case with the prevailing theory. Other similar results also occur with the Current Ratio (CR) which can explain its effect on Leverage (DER) with a positive correlation and this is not as per existing theory. The results in the second research model are not much different from the first model, namely ROA and CR can each explain their influence on Stock Returns, but these results support the existing theory. The use of Leverage as an intervening variable does not function to mediate Stock Return so that this variable cannot be used as a reference for predicting Stock Return. It is hoped that these results can help as a guide for investors on the Indonesia Stock Exchange to get maximum Stock Returns.