The Effect of Market Risk, Market Capitalization, Bond Rating, and Profitability on the Stock Return of Companies Listed in PEFINDO Investment Grade Index 2018 – 2022 with Company Age as The Moderating Variable

Chairini, Chairini and Sembel, Roy and Malau, Melinda (2023) The Effect of Market Risk, Market Capitalization, Bond Rating, and Profitability on the Stock Return of Companies Listed in PEFINDO Investment Grade Index 2018 – 2022 with Company Age as The Moderating Variable. In: Contemporary Exploration of Social Sciences in the Post Pandemic Era - 1. NCM Publishing House, Bursa, pp. 219-224. ISBN 978-625-99157-2-2

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Abstract

Stock returns can be affected by numerous variables, ranging from economic indicators to company-specific factors. Understanding and analyzing these variables are crucial for investors, to make investment decisions and develop effective investment strategies. This study aims to analyze and evaluate variables affecting stock return on the constituents of PEFINDO Investment Grade Index in the period of 2018 – 2022 using variables of market risk, market capitalization, bond rating, profitability (return on asset), and the company’s age as moderating variables. This study used a quantitative model approach with the type of explanatory research. The data source used is secondary data taken from quarterly reports of audited financial statements. The population of this study is 30 companies listed in PEFINDO Investment Grade Index in 2018 – 2022 with purposive sampling techniques of 11 companies that are consistently listed in PEFINDO i-Grade Index. The data technique analysis utilizes a panel data regression model to analyze the data. The results showed that market risk and return on asset (ROA) positively affect stock return while company age has a negative effect. Furthermore, other variables such as market capitalization and bond rating have no effect on stock return. On the other hand, Firm age can moderate the effect of market capitalization and market risk on the stock return, however; it cannot moderate the effect of bond rating, and profitability on the stock return of PEFINDO i-Grade Index. Keywords: Market Risk, Market Capitalization, Bond Rating

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