The Effect of Book to Market Ratio (BMR) and Return on Equity (ROE) on Stock of Listed Consumer Goods Companies in Indonesia Over The Period 2014-2018

Abstract

This study aims to analyze the effect of Book to Market Ratio, Return on Equity to Stock Returns in Consumer Goods Industry Sector in Indonesia during 2014-2018. The population in this study are companies engaged in the sector Consumer Goods Industry whose shares are listed on the Indonesia Stock Exchange during 2014-2018. This data was obtained from a factbook which was downloaded through the official website of the Indonesia Stock Exchange, www.idx.co.id. The samples are 33 companies for five (5) years during 2014-2018. The findings show that the Book to Market ratio (BM) has not a significant effect and has positive relationship to stock return. The Expected Book to Market ratio (FBM) has not a significant effect and negative relationship to stock returns. The Expected Return on Equity (FROE) has no significant effect to stock returns. Firm size (Size) and Liquidity (Liq) as control variable also have no significant effect to stock returns.