Current Ratio, Debt to Equity Ratio, Total Asset Turnover, Return on Asset, Price to Book Value sebagai Faktor Penentu Return Saham
The  purpose  ofthis  studyistoexamineandanalyze  thefinancial  ratio  is  measuredwithCurrent  Ratio,  Debt  to Equity  Ratio,  Total  Asset  Turnover,  Return  On  Asset,  Price  to  Book  Value  towards  share  return.  The populationin  this  study  areallReal  Estate  and  Property  Industri  Listed  inthe  indonesia  stock  exchange since period 2012-2013, with the total of47companys. Thestudysamplewas takenby purposive sampling method, with the  total  of  31company.  This  study  usesdata  analysisof  multiple  linear  regression  analysis  to  estimated  of dependent variable’s value from independent variable’s. Based onthe research results, it can be known that only price to book value has a significant effect toward share return and for current ratio, debt to equity ratio, total asset turnover, return on asset has not a significant effect toward share return.
The Relationship between Operational Financial Ratios and Firm's Abnormal Stock Returns
The investment in stock market and other stocks issued by the firms require sufficient knowledge and understanding of the financial reports and information of the business firms. This study aims to investigate the effects of three types of financial ratios, i.e., profitability/liquidity, continuity and efficiency of business firms over the investors' abnormal stock returns. To achieve the aim of the study, the ratios were categorized into two groups namely fundamental ratios and risk-proxy ratios. The financial ratios make a relationship between various economic variables of a firm and make it possible to compare financial information of various firms. The financial ratios also make it easier to evaluate the firm's performance through examining the relationship between the variables of the financial statements. The results of this study showed that there is a significant relationship between the most fundamental accounting variables, i.e., return on assets, operational cash flow, changes in return on assets, changes in net profit margin and total asset turnover. The existence of this relationship shows the high dependence of abnormal stock returns on its intrinsic fundamental variables. However, there was not any relationship the liquidity ratio and stock returns. Moreover, there was not any significant relationship between the majority of risk proxy variables i.e., the ratio of accruals, operating leverage and stock issuance indicating the independence of abnormal stock returns from risk proxy variables.
The Cross-Section of Expected Stock Returns in Iranian Stock Market: Some Empirical Evidence
The Capital Asset Pricing Model (CAPM) argues that only systematic risk should be priced in the market; Specific or idiosyncratic risk does not deserve a risk premium. However, recent empirical studies have raised serious challenges to this belief It appears that “/3” as a measure of systematic risk, has little power in explaining cross-sectional risk and return relationships over long periods of time, while other variables such as “firm size” and “book-to-market ratio,” appear to be more useful risk proxies. This study seeks to explore the cross-section of expected common stock returns in Iranian emerging stock market, namely Tehran Stock Exchange for the period 1993 through 2001. The joint roles of market risk measured by beta, firm size, book-to-market, earnings-to-price, and trading volume on monthly returns is examined. The study findings although consistent with central theme of the CAPM, but are inconsistent with the results of similar studies carried out in major developed stock markets recently.