The effect of illiquidity, risk, beta and company size towards stock returns: ASEAN stock exchanges

The previous research regarding return and relationship with other variables has a contradicting finding. Return always become part of investors goals beside holding period and risk. This study investigates the effect of factors related to the stock return, such as liquidity, company size, risk, and beta of companies listed on ASEAN Exchanges for 2011-2019. This study uses a quantitative approach by using multiple linear regression method with extensive observations. The dependent variable is stock return, while the independent variables used are liquidity, company size, risk, and beta. This research uses 14,580 observations of 1,620 wide-spread companies across Indonesia, Malaysia, Thailand, Vietnam, Singapore, and Philippine in nine years. The study finds that illiquidity, risk, and size positively influence stock return significantly, while beta has an insignificant positive effect on stock return. This study also finds that there are country-effect towards stock return in each country. Asian’s investors very concern about liquidity because short-term holding period and the market is growing. While beta is not considered major factors in investment decision because of their short-term investment horizon.