Analyzing the Impact of Financial and Macroeconomic Factors on Stock Returns and Firm Value in The Indonesia’s Consumer Cyclicals Sector
Fahranik Maulia Hidayat · Brady Rikumahu
International Journal of Finance & Banking Studies · 2025 · Vol. 14 / Issue 1 · 30-45
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Abstract
Stock returns reflect the investment returns investors receive from owning company shares, encompassing both dividends and stock price increases. High stock returns indicate strong company performance and are attractive to investors, often reflecting market expectations of the company's future profitability and contributing to increased company value. Conversely, low stock returns can reduce market confidence and negatively impact company value. This study examines factors influencing stock returns in cyclical consumer sector companies listed on the Indonesia Stock Exchange from 2019 to 2023, with a sample of 63 companies out of 124. The research utilizes principal component analysis (PCA) with regression mediation, analyzing variables such as liquidity, solvency, activity, profitability ratios, financial performance, good corporate governance, and macroeconomic factors. SPSS 25 is used for data analysis. Key findings reveal that Market Value Added (MVA) significantly impacts both stock returns and firm value, while exchange rates and GDP do not significantly affect stock returns or firm value in this sector. The money supply (M2) significantly influences stock returns but not firm value. The Sobel mediation test shows that stock returns significantly mediate the relationship between MVA and M2 with firm value, whereas they do not mediate the effects of exchange rates and GDP on firm value. These results offer insights into the economic and financial factors impacting stock performance and firm value in Indonesia's cyclical consumer sector.
Keywords: {'name': 'Corporate Finance'}, {'name': 'Corporate Finance, Corporate Governance, Financial Markets, Information and Market Efficiency.'}, {'name': 'Economy, Public Finances, Taxes, Budget, Public Debt'}
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Fahranik Maulia Hidayat
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Brady Rikumahu
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