Determinants of stock return of property and real estate companies in the developing market

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Abstract

Macroeconomic risk factors can determine the expected return on property and real estate stocks (Khan, Khan, Ahmad, & Bashir, 2021), in addition to other factors: property prices (Das, Füss, Hanle, & Russ, 2020) and financial performance (Medyawati & Yunanto, 2017). This study aims to empirically prove the effect of interest rates (SB), exchange rates (KURS), commercial property price index (IHPK), return on assets (ROA), debt-to-equity ratio (DER), and current ratio (CR) on stock returns estimated using panel data regression model. The sample of this research is 23 companies from 63 companies in the property and real estate industry which are listed on the Indonesia Stock Exchange (IDX) during the 2015–2019 period. The empirical findings of this study prove that the ROA, CR, IHPK, and KURS variables have a negative effect on stock returns, while the SB variable has a positive effect. The level of corporate debt (DER) was not proven to determine stock returns. The exchange rate has the greatest influence on stock returns, and the fact does show that the Indonesian stock market is dominated by foreign investors, so that every time foreign currencies appreciate because they leave the stock exchange, the stock price immediately declines. The results of this study have implications for investors that investment decisions to buy shares of property and real estate companies must understand the changes that occur, especially macroeconomic variables and also the company’s financial performance.

Keywords: Stock Return, Financial Performance, Macroeconomic Variable, Property and Real Estate Companies, Indonesia

Authors’ individual contribution: Conceptualization — D.F.A. and E.E.; Methodology — D.F.A. and E.E.; Investigation — E.E., M.S., and H.S.; Resources — H.M. and A.I.; Data Curation — D.F.A., M.S., and A.I.; Writing — Original Draft — D.F.A., H.M., and A.I.; Writing — Review & Editing — E.E., M.S., and A.I.; Supervision — E.E. and H.S.; Project Administration — H.M. and M.S.; Funding Acquisition — H.S., H.M., and A.I.

Declaration of conflicting interests: The Authors declare that there is no conflict of interest.

JEL Classification: G11, G12, D23, E31

Received: 26.07.2021
Accepted: 21.12.2021
Published online: 23.12.2021

How to cite this paper: Endri, E., Amrullah, D. F., Suparmun, H., Mary, H., Sova, M., & Indrasari, A. (2021). Determinants of stock return of property and real estate companies in the developing market [Special issue]. Corporate Governance and Organizational Behavior Review, 5(2), 184–193. https://doi.org/10.22495/cgobrv5i2sip6