The Effect of Company ’ s Fundamental , Market Return and Macroeconomic to Stock Return : A Case Study of Consumer Goods Companies Listed in BEI Period 2009-2018

The aim of this study was to understand whether the company’s fundamental factors through liquidity ratio, asset management ratio, pro�itability ratio, debt management ratio and market value ratio, speci�ically represented by current ratio, Total Assets Turnover (TATO), Return on Assets (ROA), Debt to Equity ratio (DER) and Earnings per Share (EPS) yield; market return and macroeconomic factors (Gross Domestic Product, interest rate, exchange rate) affect the stock return of Consumer Goods companies’ listed in BEI period 2009-2018. There were various former studies did to correlate stock return with �inancial ratios or macroeconomic partially. This study was done to understand the effect of the stock return with both company’s factors and macroeconomic factors, partially and simultaneously. This study used quantitative approach, in the area of Consumer Goods companies listed in BEI during period of the research, covering 23 companies that represented 84% of Consumer Goods market capitalization. The methodology being used was data panel regression using Common Effect Model, through 886 observations. The results were (1) partially, TATO, EPS yield, market return and exchange rate affected the stock return (2) simultaneously company’s fundamental, market return and macroeconomic affected the stock return. This means in consumer sector, investors put attention on asset management, earnings yield, market condition and macroeconomic. Therefore, the author recommended that many extended researches can be done on the �inancial ratios, market return and macroeconomic, using different variable, especially due to TATO affect the stock return while conversely ROA and DER were not. The Effect of Company’s Fundamental, Market Return and Macroeconomic to Stock Return: A Case Study of Consumer Goods Companies Listed in BEI Period 2009-2018 Juliana Thamrin1*, Roy Sembel2 12Sekolah Tinggi Manajemen IPMI, DKI Jakarta, Indonesia 12750


A R T I C L E I N F O A B S T R A C T
The aim of this study was to understand whether the company's fundamental factors through liquidity ratio, asset management ratio, pro�itability ratio, debt management ratio and market value ratio, speci�ically represented by current ratio, Total Assets Turnover (TATO), Return on Assets (ROA), Debt to Equity ratio (DER) and Earnings per Share (EPS) yield; market return and macroeconomic factors (Gross Domestic Product, interest rate, exchange rate) affect the stock return of Consumer Goods companies' listed in BEI period 2009-2018. There were various former studies did to correlate stock return with �inancial ratios or macroeconomic partially. This study was done to understand the effect of the stock return with both company's factors and macroeconomic factors, partially and simultaneously. This study used quantitative approach, in the area of Consumer Goods companies listed in BEI during period of the research, covering 23 companies that represented 84% of Consumer Goods market capitalization. The methodology being used was data panel regression using Common Effect Model, through 886 observations. The results were (1) partially, TATO, EPS yield, market return and exchange rate affected the stock return (2) simultaneously company's fundamental, market return and macroeconomic affected the stock return. This means in consumer sector, investors put attention on asset management, earnings yield, market condition and macroeconomic. Therefore, the author recommended that many extended researches can be done on the �inancial ratios, market return and macroeconomic, using different variable, especially due to TATO affect the stock return while conversely ROA and DER were not.

INTRODUCTION
In the last 10 years, Indonesia population increased signi�icantly by 13% or equal to 30 million people. While Middle class population in Indonesia also increases signi�icantly. It was around 52 million of middle-class people whose consumption accounts for 43 percent of total household consumption (Boediono, 2017). During period of Year 2009 to Year 2018, the Consumer Goods Sector Index performance was the highest amongst all sectors in BEI, with 686% growth or average 68.61% annual growth. Based on the data, investing in consumer goods sector is seemingly attractive to give good returns.
Many researches were conducted to research the correlation between stock return with company's fundamental factors, market return and macroeconomic, in variative mapping, through various sectors; the researches are based on partial variables, for example between stock return and company's performance. Other study focused on the correlation between stock return and macroeconomic only. Utami et al. (2015) studied that company's internal factors (DER, ROE, EPS and PER) in�luenced the stock return, so did the external factors (in�lation, interest rate and exchange rate). While other researcher broke down the variables of company's internal and external into individual variables. Kusumadewi (2015) studied DER, EPS, GDP, BI Rate and exchange rate as individual affect to stock return. Therefore, this study was designed speci�ically to close the gap, to correlate stock return with the company's fundamental (from �inancial ratio perspective), market return and macroeconomic factors simultaneously, in consumer goods sector. In speci�ic, this study was conducted to understand whether company's fundamental affect the stock return; to understand whether earnings yield affects the stock return; to understand whether market return affects the stock return; �inally, to understand whether macroeconomic factors affect the stock return in Consumer Goods sector in BEI period 2009-2018.
The scope of this research focused on the Consumer Goods Sector companies traded and listed in BEI period 2009-2018, excluded companies with unusual market transaction and stocks was actively traded during period of study. This study focusses on 1 ratio to represent liquidity ratio, asset management ratio, pro�itability ratio, debt management ratio and market value ratio. While from market the variable was covered by BEI stock return. And macroeconomic variables were covered by GDP, interest rate and exchange rate) variables impact to the stock return.
Based on literature and previous studies, it showed that company's fundamental, market return, and macroeconomics affected the stock return, where the hypotheses were established from the literatures.

LITERATURE REVIEW
According to Brigham & Houston (2012), �inancial ratios can be divided into 5: (1) Liquidity ratio (2) Asset Management Ratio (3) Pro�itability Ratio (4) Debt Management Ratio and (5) Market Value Ratio. In managing the company's performance, there's a potential con�lict between managers and shareholders which was mentioned by Jensen and Meckling (1976) as the agency relationship. Therefore, managers should proof the company's performance through positive �inancial results and maximizing the stock return.
In assessing the investment in stock return, investors mainly review on 2 factors which are the dividend paid and the capital gain/loss (Bodie et al., 2014). Total expected return is total of dividend yield and capital gain or loss yield (Brigham & Houston, 2012). Dividend yield is the expected dividend divided by the current price of a share or stock. Capital gain yield is the capital gain during a given year divided by the beginning price.
In investment strategy, investors can consider the company analysis, industry analysis and macroeconomic in deciding its portfolio quantitatively. Therefore, another leg in analyzing the stock return is studying the earnings yield which is closely correlated with the market value ratio. Last factor to correlate is the macroeconomic which consists of GDP, in�lation, exchange rate, interest rate etc. Jensen and Meckling (1976) de�ined an agency relationship as a contract under which one or more persons (the principal(s)) engage another person (the agent) to perform some service on their behalf which involves delegating some decision-making authority to the agent. This de�inition gives a signal that if the �inancial reports which prepares by the managers (agent) must be trustable by the owners (principal). Thus, managers should proof the company's performance through positive �inancial results and maximizing the stock return.

Stock Return
Stock (or equities) represents an ownership share in the corporation (Bodie et al., 2014). In assessing the investment in stock return, investors mainly review on 2 factors which are the dividend paid and the capital gain/loss (Bodie et al., 2014). Stock Return: A Case Study of Consumer Goods Companies Listed in BEI Period 2009 A dividend is the portion of corporate pro�its paid out to stockholders (O'Sullivan & Sheffrin, 2007). Capital gain is the pro�it (loss) from the sale of capital asset for more (less) than its purchase price (Brigham and Houston, 2012). To analyze the stock returns, investor can use technical analysis and fundamental analysis. Technical Analysis is a research to identify mispriced securities that focuses on recurrent and predictable stock price patterns and on proxies for buy or sell pressures in the market (Bodie et al., 2014). While fundamental analysis uses earnings and dividend prospects of the �irm, expectations of future interest rates, and risk evaluation of the �irm to determine proper stock prices.

Financial Ratios
According to Brigham & Houston (2012), �inancial ratios can be divided into 5: Liquidity ratios, Asset Management ratio, Debt Management ratio, Pro�itability Ratio and Market Value Ratio. a. Current Ratio (part of liquidity ratio): Current ratio is current liabilities divided by current assets. Current ratio gives investors an indicator that the company can cover its shortterm liabilities with its current assets. b. Total Assets Turnover Ratio -TATO (part of assets management ratio): measures turnover of all the �irm's assets. Total assets turnover gives the indication whether the company is generating enough sales (turnover) from the asset's investment. c. Return on Assets -ROA (part of Pro�itability ratio): is the ratio of the net income to total assets. ROA can give investors an information on how effective company utilize its assets to generate net income. d. Debt to Equity Ratio -DER (part of Debt Management ratio): is the ratio of total debt to total equity. DER de�inition implied on how the company �inance its operation, whether using third party fund or the owner's fund. e. Earnings Per Share -EPS (part of Market Value ratio): is the measure a company's net income per share of outstanding stock. EPS give indication to investors about the pro�itability level.
According to O� ztürk (2017) who investigated the relationship between current ratio with stock return in Istanbul Stock Exchange, that there was no correlation between current ratio and stock return. Endri (2018) also investigated that the liquidity ratio proxied with Current Ratio does not affect the stock return of livestock feed sub sector. However, theoretically current ratio is an important ratio to the company and also supported by study did by Khotimah & Murtaqi (2015) that concluded current ratio gave signi�icant effect to stock return.
According to Fitri & Matrodji (2018), Total Asset Turn Over (TATO) partially has negative and signi�icant effect on the stock return of property company. While Raharjo (2018), TATO was signi�icantly impacting the stock return. The research did by Khotimah & Murtaqi (2015) strengthen the research did by Raharjo which concluded that Total Asset Turnover has signi�icant positive impact to Stock Return.
In an article written by Savalle (2016) about multinationals Consumer goods companies such as P&G, Nestle, Danone etc. showed that heavy assets ownership could brought to average pro�itability level compared to the same companies among the sector. On the other hand, high ROA performer which is more attractive to shareholder such as Mondelez, Clorox, Estee Lauder, Reckitt, GSK, Johnson & Johnson that was in remarkable performance. Lower ROA will impact to lower stock return because less attractive to investors. However, research did by Muhamad (2013) and Endri (2018) concluded that Return on Assets has a positive and signi�icant effect on Stock Return.
In the study did by Kusumadewi (2015), Raharjo (2018) and Endri (2018), DER did not affect the stock return. It is in line with the theory and also supported study by Muhamad (2013), DER affect the stock return.
It was mentioned that the level of the S&P 500 stock price index to forecasts of earnings per share of the S&P 500 companies' stock prices tend to rise along with earnings (Bodie et al, 2014). This is also agreed by Shabani et al. (2013) and Khai & Ismail (2018) study result where they concluded EPS was positively and signi�icantly correlated with stock return.

Market Return
According to Jones (2013), return is what investors wish to earn on their money. Therefore, market return represents the investors' return on their investment in capital market.
In many researches, the country stock exchange index re�lects the economic condition of a country and how investor should consider putting the fund into the country, sectoral or individual stock pick. Lee at al. (2013) and Defrizal et al. (2015) studied that the stock market return affected the stock return.

Macroeconomic Factors
Primary macroeconomy factors that correlates with the investment in a country: Gross Domestic Product (GDP), employment rate, in�lation rate, interest rate, budget de�icit and sentiment (Bodie et al., 2014).
GDP is the measure of the economy's total production of goods and services (Bodie et al., 2014). The increase of consumption, government outlays, investments and export will increase the GDP, while in contra the increase of import will impact to decrease of GDP. Increase of GDP means opportunity for higher sales or doing business in a country. Research did by Wu (2012) and said that there's no signi�icant relationship between stock market returns and GDP growth rates in the US stock market. This conclusion was strengthened by an article published through Forbes which was written by Hoffmans (2012), said Rates of GDP growth and stock returns are not directly linked and shouldn't be. In domestic, research was also performed by Suramaya (2012) where concluded there was no signi�icant impact of GDP to stock. However, theoretically GDP affect the stock. The theory was strengthened by study did by Alabedallat & Al Shabib (2012) which concluded that GDP affected the stock return.
High interest rate reduces the present value of future cash �lows, thereby reducing the attractiveness of investment opportunities. Interest rate can be an important whether the company should put more investment to expand. Therefore, interest rate is an important factor to determine the stock return. Former research did by Arysoma (2018) and Raharjo (2018) concluded that interest rate was signi�icantly affected the stock return.
Exchange rate is a price of one country's currency in terms of another country's currency (Brigham and Houston, 2012). In most countries, the exchange rate free-�loating in accordance the market demand and supply, so the price or value is not regulated by government. Based on the research did by Ali & Sun (2017), there's a mixed result between exchange rate correlation with stock price in every country. From Indonesia research, Arysoma (2018) concluded that there was negative and signi�icant correlation between both variables, exchange rate has causal correlation with stock return.

Hypothesis Development
Based on the mixed result of the studies, the research framework was designed in Figure 1

RESEARCH METHOD Data Collection
The data collection technique in this research is using quantitative method, thus all data can be measured numerically. The population was the companies listed in BEI for the period 2009 to 2018. While the method of picking sample is purposive sampling. Purposive sampling means a non-probability sample that is selected based on characteristic of a population and the objective of a research. Criteria of the selected sample is: Consumer Goods companies listed in BEI period 2009 -2018, which shares is actively traded up to end of 2018 and providing the �inancial reports publicly.

Sample Size
The

RESULT AND DISCUSSION
Based on the data collection and population criteria, there are 23 companies ful�illed the sample criteria, as shown in Table 3.

Descriptive Statistics
Descriptive statistic provides an overview about the sample characteristics. The characteristic outlines in Table 1.    International Journal of Business Studies Vol. 4 No. 3 (October 2020) Bera is a goodness-of-�it test of whether sample data have the skewness and kurtosis matching a normal distribution. Based on the resulted shown in Figure 3, the regression model does not pass normality test. However, in general big data result can hardly normal. Based on the histogram, the distribution did not have huge difference to normal curve. Therefore, it is concluded that the data can be used for regression analysis.     Period 2009Period -2018 • If dL < d < dU or 4-dU < d < 4-dL, means no conclusion

Selected Regression Model
Based on the selected model in this study, the DW statistic from the selected model (common effect model) is 1.932001. This result is being measured using the DW criteria. The testing result is being illustrated in Figure 6 below, which the DW statistics fall between dU and 4-DU and it re�lects H0 is accepted, which means there's no autocorrelation in the regression model.

b. Signi�icance Test
The regression model result are shown in Table 7, where this model will be used to interprete the research hypothesis and conclude the research questions.
Result from the F-Test showed that the p-value of F-statistic is 0.000000 which is < 0,05. n(sample sixe) = 900 k (independent variables) = 9 Figure 4. Durbin Watson Test Result are 5 variables that are not affecting the stock return which is current ratio, ROA, DER, GDP and interest rate. The research result for current ratio, ROA, GDP and interest rate is in alignment with previous research, however DER is in contra position with previous research. Current ratio with does not affect the stock return, it means that the liquidity of company's assets and the ability to pay the short-term liabilities did not affect the investor's decision to put their fund in consumer goods stock. TATO is signi�icantly impacting the stock return. This means the use of assets to generate sales is very important to the company. The higher TATO means company productively utilize its assets to generate sales; which is viewed attractive by investors. ROA with α = 0.8722 means it does not impact the stock return. It means that the effectiveness of company in generating earnings from assets is not impacting stock return. Company may hold assets to generate the sales, but it may not generate income. This may indicate that consumer goods companies operated with high operating cost. Both TATO and ROA are assets utilization measurement variables but was viewed differently by investors in consumer goods. This is a seemingly contradictive. It may create other possibilities that investor view there's other variables which is more important than ROA in generating income. GDP is also not signi�icantly impacting the stock return. It means that the highlevel view on GDP does not mean direct potential to grow. Higher GDP was viewed as potentially higher purchasing power but does not attract the investor to invest the fund in consumer goods sector. If review the descriptive statistic where there was huge range between minimum and maximum value, investor tend to be selective in stock selection within consumer goods sector. Interest rate did not affect the stock return. This re�lect that the interest rate set by government does not impact to the stock return. In theory, the higher interest rate will impact to lower stock return because investor tend to put their fund in the deposits in the higher interest situation, but the theory was not proven in this research. Further research can be conducted to study whether the stock market return is too attractive in this period so that investors did not even view interest rate as investment alternative.
In the other hand, there are 4 variables impact the stock return which is TATO, EPS yield, market return and exchange rate. The signi�icance of TATO means that the company should maintain the high utilization of its assets over sales. EPS positively and signi�icantly affects stock return, so the higher EPS yield the more attractive the company. EPS yield is a very important factor to investors. This has been supported by the hypothesis. Investors always put focus on the EPS yield when decide an investment and managers should always put more attention to keep a good yield. Market return also positively and signi�icantly affects the stock return. Market return can give indication about the stock return potential in consumer goods. In the situation when overall market not in good condition, it is signalling investors to stay away from the stock market. While exchange rate with α = 0.0000 proof that exchange rate is very signi�icant to stock return. However, the negative sign means that if the higher exchange rate, the lower stock return would be. While the lower exchange rate impact to higher stock return. Therefore, in the situation of high volatility, investors may quit from stock market. Investors in consumer sector view that the company fundamental in asset management and market valuation is very important; through TATO and EPS yield. Therefore, in consumer goods, managers must keep both ratio in an attractive situation.

CONCLUSIONS AND RECOMMENDATIONS Conclusions
Based on the result tested using common effect, the analysis and discussions, it can be concluded that:

Recommendations
There are 4 variables which signi�icantly impacted the stock return: 2 variables from company's fundamental factor, 1 variable from market return and 1 variable from macroeconomic factor. While the other 5 variables did not signi�icantly impact to the stock return. Thus, the recommendation is as below: 1. Recommendation for next researcher: Out of 5 �inancial ratios being used in this research, only asset management ratio and market value ratio signi�icantly affect the stock return. Therefore, the recommendation for next study is: a. to extend the study about liquidity ratio in another sub-sector and extend the liquidity ratio variables such as quick ratio and working capital ratio. Theoretically liquidity ratio should not be ignored when decide on the stock investment in consumer goods. b. to answer whether investor view the operating cost as long-term investment to grow the company top line (sales) and ignoring short-term the bottom line (pro�it). While asset management ratio (TATO) was viewed as important ratio, it needs a deeper review why pro�itability ratio through asset (ROA) was not viewed as important as asset management ratio.
Therefore, next researcher can extend the research variable to ROE, GPM, NPM etc. c. to extend the research on the assets acquisition source fund in consumer goods company. Considering at high attractiveness in assets management ratio in Consumer goods (re�lected by TATO), it needs a deep dive on how company acquire the assets. If the assets were acquired through debt �inancing, it may result in other risk to the stock return. However, in contra, DER was not viewed as signi�icant ratio. Therefore, the connectivity between asset management and debt management ratio can also be interesting research for next researcher. d. to further study the impact of GDP growth over another sector. The earning creation as mentioned in point b) above can be an interesting answer. Intuitively, high GDP should attract investment into consumer goods market, but the studied was not proven. It may because higher GDP potentially create purchasing power and eventually create more sales. But high sales do not mean high earnings. e. to correlate interest rate with stock return in other sectors. While interest rate was not viewed as important factor in consumer goods during the study period, further hypothesis can be developed as consumer goods stock �ly way too high compare to the interest rate, it created new hypothesis as if the sector was in high grow period, interest rate could be ignored. f. to consolidate the next study into internal and external factors rather to view �inancial ratios or macroeconomic as individual factors. This study can also be extended into other sectors. 2. Recommendation for managers: a. Managers the assets' ef�iciency is very important, including assets in progress and new assets acquiring. Consumer goods sector's investor put huge reliance in the assets utilization ratio. This ratio can keep the stock attractive.
b. Managers should always keep the pro�itability over outstanding stocks because EPS yield is viewed as signi�icant indicator to investor. The ability to maintain or even to grow the income will increase the attractiveness to investors. c. Managers should always calculate the risk of the exchange rate and its impact to the pro�itability. The correlation between exchange rate and stock return was obvious. 3. Recommendation for government and regulators: a. Government play important role in managing and drafting better regulation in supporting companies' growth, especially those listed in stock market. As Market return is very important to give con�idence to investors in stock, the stability in the stock market index is very important. The roll out of new regulations also need to be managed, in order to not surprising the market. b. Government must play important role in keeping country's exchange rate in a stable position, in order to attract more investors. The mixture between monetary and �iscal policy is very important. It is proven that high volatility of exchange rate reduces the attractiveness in stock because the lower stock return.