Determining Shares’ Internal Return: Fifty Leading Large-Cap Companies

Abstract

This study aims to test and analyse the determinants of internal stock returns with annual data observation used from 2014–2015. Following are the types of quantitative research employed in this study. The population of 41 companies with their capitalisation is listed on the Indonesia Stock Exchange (IDX), and their capitalisations report have been consistent for two years. The non-probability sampling technique is purposive sampling. A data analysis using a regression regarding the fixed-panel effect has an R-squared value of 71.6% compared with other models. The results showed that the return on assets, return on equity, debt-to-equity ratio, firm size and growth simultaneously and significantly influence stock returns. Partially, all independent variables have a positive and significant effect on stock returns. Hence, it is advisable to add external factor variables, using sample companies within other industries.

Keywords: Return on Asset (ROA), Return on Equity (ROE), Debt to Equity Ratio (DER), firm size, growth