Pengaruh Anomali Pasar, Kinerja Keuangan dan Ukuran Perusahaan terhadap Return Saham

This study aims to examine the influence of market anomaly, financial performance, and firm size on stock returns for companies included in the LQ45 index listed on the Indonesia Stock Exchange (IDX) from 2020 to 2024. The population consists of 45 companies in the LQ45 index; using a purposive sampling technique, 18 companies were selected as the research sample. Data analysis was conducted using panel data regression with the aid of EViews 13 software, with the Fixed Effects Model (FEM) identified as the optimal estimation model. The results indicate that, collectively, market anomalies, financial performance (ROA), and firm size have a significant impact on stock returns. Individually, the market anomaly variable does not have a significant effect on stock returns. financial performance has a positive and significant impact, while firm size has a negative and significant impact. The coefficient of determination shows that 25% of the variance in stock returns can be explained by these three independent variables, while the remaining 75% is influenced by factors outside the scope of this study

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Publication Details

Journal
BALANCE Jurnal Akuntansi dan Bisnis
Published
2026-11-01
DOI
https://doi.org/10.32502/bm3h9e89
Primary Topic
Financial Analysis and Corporate Governance
Type
article
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article

Pengaruh Anomali Pasar, Kinerja Keuangan dan Ukuran Perusahaan terhadap Return Saham

Dwi Septiani, Tia Bibita Saputri
BALANCE Jurnal Akuntansi dan Bisnis
Financial Analysis and Corporate Governance
article

Pengaruh Anomali Pasar, Kinerja Keuangan dan Ukuran Perusahaan terhadap Return Saham

Dwi Septiani, Tia Bibita Saputri
article en

Abstract

This study aims to examine the influence of market anomaly, financial performance, and firm size on stock returns for companies included in the LQ45 index listed on the Indonesia Stock Exchange (IDX) from 2020 to 2024. The population consists of 45 companies in the LQ45 index; using a purposive sampling technique, 18 companies were selected as the research sample. Data analysis was conducted using panel data regression with the aid of EViews 13 software, with the Fixed Effects Model (FEM) identified as the optimal estimation model. The results indicate that, collectively, market anomalies, financial performance (ROA), and firm size have a significant impact on stock returns. Individually, the market anomaly variable does not have a significant effect on stock returns. financial performance has a positive and significant impact, while firm size has a negative and significant impact. The coefficient of determination shows that 25% of the variance in stock returns can be explained by these three independent variables, while the remaining 75% is influenced by factors outside the scope of this study

BALANCE Jurnal Akuntansi dan BisnisVol. 11(2)
Universitas Pamulang (ID)
Openalex Percentile: Top 4%
Financial Analysis and Corporate Governance
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