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This study aims to compare the effectiveness of the Capital Asset Pricing Model (CAPM) and Arbitrage Pricing Theory (APT) in predicting stock returns through a literature review of 30 relevant studies. The findings show that CAPM, which relies solely on market risk, is more frequently proven accurate (18 studies) compared to APT (6 studies), while the remaining studies found no significant difference. Financial behavior also plays an important role in enhancing the accuracy of both models. Overall, CAPM is more effective in stable market conditions, while APT is more suitable in complex economic environments. Model selection should be based on market conditions and investor needs.

Profitability is a critical factor in ensuring a company’s sustainability. In the current business environment, companies are required to balance profit with non-financial aspects, namely social and environmental considerations. This study aims to empirically examine the effect of green accounting, environmental performance, and corporate social responsibility (CSR) disclosure on profitability, using firm size as a control variable. The research was conducted on manufacturing companies listed on the Indonesia Stock Exchange during the 2021–2024 period. The sample was selected using purposive sampling, resulting in 246 observations. Data were analyzed using multiple linear regression techniques. The findings indicate that green accounting and firm size (as a control variable) have a significant negative effect on profitability. In contrast, environmental performance and CSR disclosure have a significant positive effect on profitability. These results imply that corporate management should strive to balance profit, social, and environmental aspects without neglecting cost efficiency. Furthermore, environmental performance and CSR disclosure can serve as key indicators in investment decision-making, as they provide favorable returns for shareholders.

Stock return refers to the level of profit gained by investors from stock ownership. The volatility of a company's stock return can be influenced by financial information such as profitability. However, over time, there has been growing pressure on companies not only to pursue financial profit but also to consider non-financial information, such as carbon emission disclosure and green accounting. This study aims to empirically examine the effect of profitability, carbon emission disclosure, and green accounting on the stock returns of energy sector companies. The research was conducted on energy sector companies listed on the Indonesia Stock Exchange (IDX) during the 2021–2023 period. The sample was selected using a non-probability sampling method with a purposive sampling technique, resulting in 39 companies and a total of 117 observations. Data were collected using a non-participant observation method, and the data were analyzed using multiple linear regression analysis. During the data analysis stage, outliers were detected in the dependent variable, which affected the results of the normality and heteroskedasticity tests. To address this, the winsorizing method was employed to minimize the influence of outliers without eliminating the data. The findings indicate that profitability (measured by ROA), carbon emission disclosure, and green accounting all have a positive effect on stock returns. The implications of this study provide empirical evidence on the influence of profitability, carbon emission disclosure, and green accounting on stock returns in the energy sector on the IDX during the 2021–2023 period. Furthermore, the findings offer valuable insights for corporate management to enhance transparency on sustainability issues, provide strategic guidance for investors, and raise public awareness on the importance of supporting environmentally friendly businesses.

This study aims to test the influence of financial performance as measured by Current Ratio and Debt to Equity Ratio on stock returns. The data used are secondary data from the Annual Report. The sample used in this study was 15 Multifinance Sector companies listed on the Indonesia Stock Exchange for the period 2020-2023, so that the data observed was 60. The type of research used is descriptive and associative with a quantitative method that aims to determine the influence of independent variables on dependent variables, with SPSS analysis tool. The findings of this study indicate that the Current Ratio and Debt to Equity Ratio partially does not have a positive effect on stock returns. On the other hand, Earning per Share (EPS) has successfully influenced stock returns.

This study aims to analyze the influence of factors such as financial distress (FD), firm size (SIZE), liquidity (CR), and operating cash flow (OCF) on stock returns in the food and beverage sub-sector industry listed on the Indonesia Stock Exchange (IDX) from 2019 to 2023. The issue addressed relates to the importance of analyzing internal company factors in affecting stock returns, particularly in the consumer goods industry. The data used in this study is sourced from annual financial reports published by the companies, with a sample size of 40 data points from 8 companies selected through purposive sampling. In this study, data analysis was conducted using multiple linear regression methods via the STATA application. The findings of the study indicate that both financial distress and firm size have a significant impact on stock return performance. On the other hand, the variables of liquidity and operating cash flow do not have a significant impact on the company's stock return. 

This study aims to examine in depth the influence of financial variables consisting of Current Ratio (CR), Return on Equity (ROE), Debt to Equity Ratio (DER), and Earning per Share (EPS) on Stock Returns in primary consumer sector companies listed on the Indonesia Stock Exchange (IDX) during the 2018–2022 period. This study uses a quantitative approach by utilizing secondary data in the form of annual reports published through the official websites of each company and the Indonesia Stock Exchange page, so that the data used can be accounted for its validity. Sample selection was carried out through a purposive sampling technique with certain criteria resulting in 15 sample companies with a total of 75 observation data which were then analyzed using Eviews 13 statistical software. The analysis focused on partial and simultaneous relationships between variables to determine how much each factor contributed to the movement of Stock Returns. The results showed that the Current Ratio had no significant effect on Stock Returns with a probability value of 0.4079, so that company liquidity in the short term was not a major determining factor for investors. Return on Equity also did not show a significant effect with a probability value of 0.2591, indicating that the company's efficiency in generating profits from shareholder equity has not been a consistent benchmark for investment returns. Conversely, the Debt to Equity Ratio was shown to have a significant negative effect on Stock Returns with a probability value of 0.0053, meaning that the higher the company's leverage level, the greater the risk borne, thus implying a decrease in investor interest and a decrease in returns. Earnings per Share also did not have a significant effect on Stock Returns with a probability value of 0.2989, indicating that although EPS is one of the fundamental indicators, in the context of this research period its effect was inconsistent on the returns received.

Market performance reflects the firm's value from the perspective of investors, based on current performance and future projections, which influence stock prices and long-term investment returns. This study aims to examine the effect of Corporate Social Responsibility (CSR) disclosure and Intellectual Capital (IC) on market performance, with profitability as a moderating variable. The study was conducted on manufacturing companies listed on the Indonesia Stock Exchange during the 2021–2023 period. The sample consisted of 166 observations. The sampling method used in this study was non-probability sampling with a purposive sampling technique. Data were collected through documentation and analyzed using STATA software. The results show that CSR disclosure has no significant effect on market performance, while IC has a significant negative effect on market performance. However, profitability, measured by Return on Equity (ROE), significantly strengthens the relationship between CSR disclosure and market performance, as well as between IC and market performance."

Stock return refers to the gain that investors may obtain when allocating their funds in the capital market. The stock returns of infrastructure sector companies experienced consecutive declines over the three-year period from 2021 to 2023. These declines may be attributed to both internal and external factors affecting the companies. The purpose of this study is to examine the effects of profitability, liquidity, inflation, and interest rates on stock returns. This research was conducted on infrastructure sector companies listed on the Indonesia Stock Exchange for the period 2021–2023. The study employed quantitative data derived from secondary sources published by the Indonesia Stock Exchange and Bank Indonesia. The sample comprised all 56 companies in the population, selected using a saturated sampling method. The research employed a non-participant observation method. The analytical technique used was multiple linear regression. The results show that profitability has a positive and significant effect on stock returns, while liquidity, inflation, and interest rates do not have a significant effect on stock returns. These findings suggest that profitability serves as an important signal for investors when making investment decisions.

Stock return refers to the income received by investors from their investment in a firm, either directly or through a securities firm. The level of stock return is crucial in investment analysis as it serves as a key indicator for investors in evaluating the performance and profit potential of a stock. This study aims to examine the effect of profitability, liquidity, leverage, and firm size on stock returns in manufacturing sector companies listed on the Indonesia Stock Exchange (IDX) during the 2020–2023 period. The sampling technique used was purposive sampling, resulting in a sample of 65 companies. Data analysis techniques employed include descriptive statistics and inferential statistics, processed using IBM SPSS 25. The findings indicate that profitability has a significant positive effect on stock return, liquidity has a significant positive effect, leverage has a significant negative effect, and firm size also has a significant positive effect on stock return. The implications of this study are expected to provide empirical contributions regarding the influence of these variables on stock returns and to offer managerial insights and additional references for corporate decision-making aimed at increasing stock returns.   Keywords: stock return, profitability, liquidity, leverage, firm size

This study aims to examine the impact of systematic risk and interest rates on the stock returns of state-owned banks (Bank BUMN) listed on the Indonesia Stock Exchange during the period 2021–2023. Using a multiple linear regression approach, the study finds that neither systematic risk nor interest rates have a significant partial or joint effect on the stock returns of Bank BUMN. These findings indicate that in the context of the Indonesian stock market—particularly the state-owned banking sector—these factors may not necessarily be the primary determinants in shaping stock returns. The implication of these results is the importance of considering other variables that may play a greater role in explaining stock return movements, such as firm-specific microeconomic factors and investor expectations regarding the banks’ fundamental performance.

This study aims to examine the effect of firm value on stock returns. The data used in this research are secondary data obtained from company financial statements, including book value, net income, number of shares, and market price of shares during the period 2020–2024. The sample consists of 20 food and beverage companies listed on the Indonesia Stock Exchange, observed over a five-year period, resulting in a total of 100 observations (20 companies × 5 years). The sampling technique used is purposive sampling. Firm value is measured using the Price to Book Value (PBV) ratio and the Price Earnings Ratio (PER), while stock return is calculated by taking the price at time t minus the price at time t–1, then divided by the price at time t–1. The data were analyzed using multiple linear regression. The results of the study indicate that PBV has a positive and significant effect on stock returns, whereas PER does not have a significant impact. These findings suggest that firm value, as reflected by PBV, has a more consistent influence on stock returns compared to PER. This may be due to the fluctuating nature of profits, stock prices, and the number of shares outstanding, which vary across large and small companies in the food and beverage sector. Therefore, this study recommends incorporating additional variables, such as firm size and the liquidity of outstanding shares (free float), to minimize potential bias in the analysis.

This study aims to examine the effect of systematic risk and stock liquidity on stock returns. This study is an associative study with a clause approach. The variables used are independent variables, namely systematic risk and liquidity, and the dependent variable, namely stock returns. The population of this study is banking companies listed on the Indonesia Stock Exchange for 5 years (2019 - 2023). The sampling method uses a purposive sampling method with a sample size of 41 companies. The type of data used is secondary data with data collection techniques through documentation. The data analysis technique uses multiple linear regression analysis with the analysis tool used for testing is the Statistical Program for Social Science (SPSS) 25. The results of statistical tests show that systematic risk partially affects the level of stock returns, and liquidity also affects the level of stock returns. Then the results of simultaneous testing show that the variables systematic risk and stock liquidity affect the level of stock returns.  

Background : The capital market plays an important role in the Indonesian economy as an investment vehicle for investors and a source of funding for companies. This study aims to analyze the effect of operating cash flow, investment cash flow, and accounting profit on stock returns in mining subsector manufacturing companies listed on the Indonesia Stock Exchange (IDX) for the 2018–2023 period. This finding indicates that financial information, especially operating cash flow and accounting profit, can be a reference for investors in making investment decisions. Therefore, companies are advised to increase transparency in financial reports in order to provide a positive signal to investors. Method : The research used a quantitative approach with secondary data obtained from the company's financial statements published on the IDX. The analysis techniques used include descriptive statistical tests, classical assumption tests, and multiple linear regression analysis to test the research hypothesis. Results of the study : Shows that investment cash flow and accounting profit have a significant effect on stock returns, while operating cash flow does not have a significant effect. Simultaneously, operating cash flow, investment cash flow, and accounting profit affect stock returns.   Keywords: Operating Cash Flow, Investment Cash Flow, Accounting Profit, Stock Returns, Indonesia Stock Exchange

This article aims to analyze the differences in stock performance before and after mergers and acquisitions in companies listed on the Indonesia Stock Exchange (IDX). The problem focuses on the impact of mergers and acquisitions on stock performance indicators, such as Stock Returns, Price Earnings Ratio (PER), Price to Book Value (PBV), and Earnings Per Share (EPS). In order to approach this problem, theoretical references from financial management and market efficiency theory are used. Data were collected through financial statements of companies undergoing mergers and acquisitions in the 2018-2020 period and analyzed quantitatively using normality tests and significant difference tests with paired sample t-tests. This study concludes that mergers and acquisitions have a significant effect on increasing several stock performance indicators, especially Stock Returns and PBV, although the impact on PER and EPS varies depending on the industry sector and market conditions. The results of this study are expected to provide insight for investors and business actors in assessing the effectiveness of mergers and acquisitions as a company growth strategy.

This study aims to analyze the reaction of the Indonesian capital market to the inauguration of President Prabowo-Gibran using the event study method. The important variables in this study are abnormal returns and trading volume activity, with the population of all companies listed in the LQ45 stock index. The observation period was 14 days. The data consists  of daily closing stock  price, daily closing price of LQ45 IHSG, daily trading volume, and the number of shares outstanding. Hypothesis testing was conducted using the non-parametric Wilcoxon Signed Rank Test, as the data is not normally distributed. The results showed that there was no significant difference in  the average abnormal return. However, a significant difference in the average trading volume activity was found between the periods before and after the presidential inauguration event.  

Financial markets are a crucial component of the global economy, where market volatility is a primary concern for investors. This study aims to analyze the relationship between investor behavior and market volatility, focusing on how sentiment and trading behavior influence stock price dynamics. Understanding this relationship can offer valuable insights for investors and policymakers in managing market fluctuations. The study used primary data from questionnaires distributed to 400 investors. The results indicate that risk perception, investment decisions, and investor experience have a positive and significant effect on the perception of market volatility. In contrast, investor emotions, such as fear and anxiety, negatively affect their perception of volatility. The level of uncertainty investors experience significantly influences their assessment of market fluctuations. A higher perceived risk leads to a stronger tendency to perceive increased market volatility. Furthermore, the actions of investors in the stock market impact their perceptions of price changes. More active investors tend to be more aware and sensitive to market fluctuations, while those influenced by negative emotions may underestimate the extent of market changes, leading to a lower perceived volatility. Investors often ignore important market signals when trying to avoid losses, which can impact their investment decisions. Experienced investors, having encountered various market cycles, are better at handling market fluctuations. Their ability to analyze and interpret market information allows them to manage risks more effectively and optimize long-term investment returns.

Earnings performance is seen as one of the main indicators in assessing the company's financial performance, which can influence investor decisions and be reflected in market reactions through abnormal returns. Meanwhile, internal control is considered as an internal control mechanism that can strengthen investor confidence in the quality of earnings information submitted by the company. This study aims to examine the effect of earnings performance on cumulative abnormal return (CAR) and the role of internal control as a moderating variable in the relationship. The focus of this research is on real estate and property sector companies listed on the Indonesia Stock Exchange (IDX) during the 2019-2023 period. The sample of this study consisted of 44 companies and 199 observations selected through purposive sampling technique with certain criteria. Hypothesis testing was carried out using moderated regression analysis. The results showed that earnings performance has a positive and significant effect on cumulative abnormal return, which indicates that the better the company's earnings performance, the higher the positive market reaction to the information. In addition, other findings show that internal control moderates positively and significantly the relationship between earnings performance and cumulative abnormal return. This means that the effect of earnings performance on CAR will be stronger in companies that have a good internal control system.

This study examines the presence of the Monday effect in companies listed in the IDX30 index on the Indonesia Stock Exchange (IDX) from February 2018 to January 2023. The Monday effect is a market anomaly where stock returns on Mondays tend to be systematically different from other trading days. This phenomenon, if proven, challenges the efficient market hypothesis. The main research problem is whether the Monday effect exists in IDX30 stocks during the specified period. The study aims to provide empirical evidence regarding this anomaly in the Indonesian stock market. The research employs a quantitative approach, utilizing secondary data in the form of daily stock closing prices. The sample consists of 15 companies that were consistently listed in the IDX30 index throughout the study period, selected through a purposive sampling method. The analysis is conducted using the One-Way ANOVA test with SPSS 27 statistical software to compare stock returns across different trading days. The findings confirm the presence of the Monday effect in IDX30-listed stocks, indicating that stock returns on Mondays exhibit statistically significant differences compared to other days. These results suggest that behavioral factors and market inefficiencies may influence stock price movements in the IDX30 index. This study contributes to the literature on stock market anomalies and provides insights for investors and policymakers regarding trading strategies and market efficiency in Indonesia.

This study aims to assess how financial performance influences stock returns amid political uncertainty, specifically during the 2024 general election in Indonesia. The focus is on understanding the impact of various financial performance indicators on the stock returns of property and real estate firms listed on the Indonesia Stock Exchange. A sample of 64 companies was observed during two critical periods: the pre-election period in the fourth quarter of 2023 and the post-election period in the second quarter of 2024. To analyze the data, the study employed an event study approach, utilizing multiple regression analysis to identify the relationship between financial performance and stock returns, and paired sample t-tests to compare pre- and post-election performance. The findings revealed that prior to the election, the variables Return on Assets (ROA), Debt to Equity Ratio (DER), and Revenue Growth did not significantly affect the stock returns of property and real estate companies. However, after the election, only ROA was found to have a significant impact on stock returns, while DER and Revenue Growth continued to show no effect. A comparative analysis of the two periods indicated no significant differences in the financial performance variables (ROA, DER, and Revenue Growth) between the pre- and post-election periods, yet a clear shift in stock returns was observed. This study contributes to the literature by offering a fresh perspective on how political uncertainty affects stock returns, using the framework of signaling theory, trade-off theory, and market efficiency theory to interpret the results.

The aim of this research is to test and analyze the influence of accounting profit, cash flow, return on assets on stock returns. This research method uses quantitative research methods, with the type and source of data, namely secondary data. The population in this study is the non-cyclical consumer sector listed on the Indonesia Stock Exchange. The technique used is purposive sampling technique and there are 24 companies as samples with 5 years of observation. The analysis method used is a panel data regression model using eviews 12 software. The results of this study partially show that accounting profits have a positive effect on stock returns, cash flow and return on assets have no effect on stock returns.