DETERMINAN RETURN SAHAM PADA PERUSAHAAN SUBSEKTOR INDUSTRI BARANG KONSUMSI YANG TERDAFTAR DI BEI

Abstract

The research examined and analyzed the effect of capital structure, profit quality, dividend policy, exchange rate,
and inflation on the stock return. Furthermore, capital structure used the DER model, profit quality used the Eckel
Index model. Dividend policy was measured by the DPR model, the Middle Exchange rate model measured the
exchange rate, and inflation was measured using the HKI model. The research was quantitative. Moreover, the
population was Consumption Goods companies listed on the Indonesia Stock Exchange (IDX) during 2019-2023.
The data collection technique used purposive sampling with several determined criteria. In line with that, there
were 26 companies as a sample during 5 years of observation. Totally 130 data samples were analyzed.
Additionally, the data analysis technique used multiple linear regression with the SPSS 26 version. Based on the
hypothesis test, it showed that both profit quality and exchange rate had a positive effect on stock return. Dividend
policy (DPR) had a negative effect on stock return. However, capital structure (DER) and inflation did not affect
stock return.