Analysis Of The Factors That Increase The Value Of Stock Returns On Manufacturing Companies In Indonesia

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Irwan , Etty Murwaningsari , Sekar Mayangsari


This study aims to analyze the impact of earnings management, transfer pricing, corporate social responsibility, foreign ownership, size, price-earnings ratio, profitability, and leverage on stock return.  The Method this study observes manufacturing companies listed on the Indonesia Stock Exchange during 2016-2020, with a total of 205 samples. These data were analyzed by using Stata. The novelty of this research is the presence of deferred tax expense in Stubben's earnings management model. The new earnings management variables, including deferred tax expense, are related significant to stock returns with a probability value of 0.041 and the model has an adjusted r-squared of 80.13%. while the old earnings management model on stock returns produces a probability value of 0.60 with an adjusted r-square of 0.7508.  So that result the measurement of the new earnings management is better than the measurement of the old earnings management. The results of this study show that earnings management and corporate social responsibility have a positive impact on stock return, while transfer pricing has a negative impact on it. Foreign ownership is not successful in moderating the relationship between earnings management on stock return.  However, it can weaken the negative impact of transfer pricing on stock return and strengthen the effect of corporate social responsibility on stock return. This study provides implications to support agency theory and signal theory where earnings management can help investors measure stock returns and assist investors in making stock transaction decisions.

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