THE ROLE OF CAPITAL STRUCTURE IN STOCK RETURN MODELS OF LQ45 INDEXED COMPANIES

Abstract This study is to analyze and answer the inconsistency of previous research results and explain the Market Appreciation phenomenon which is different from the Efficient Capital Market theory. This is what prompted the researcher to do it by using a combination of time series and cross sectional. This type of research is quantitative with multiple regression analysis method of panel data with a sample of 27 LQ-45 indexed companies for five years. The formula in this study, maximizes the Market Appreciation value through the Company's Capital Structure as an intervening variable and by using the research object of the company on the Indonesia Stock Exchange. Two research models are integrated into one and each through model selection testing, Chow Test, Hausman Test, and Lagrange Multiplier Test. The results of the first model; Increasing the Company's Financial Performance has an effect on increasing the Company's Capital Structure, these results confirm that this is not in accordance with the theory. Similar results also occur in Company Liquidity which affects the Company's Capital Structure with a positive correlation and this also contradicts the theory. The results of the second research model are not much different from the first model, Company Financial Performance and Company Liquidity each have an effect on Market Appreciation, but these results support the existing theory. The Company's Capital Structure as an intervening variable cannot mediate Market Appreciation so it cannot be used as a reference to predict it. It is hoped that these results can help as a guideline for investors on the Indonesia Stock Exchange to obtain maximum Stock Returns.