The Influence of Profitability, Liquidity and Market Value on Stock
Returns
Research to Mining Companies on Indonesia Stock Exchange from 2012 To 2016
Rosmayanti Rosmayanti, Imas Purnamasari and Heraeni Tanuatmodjo
Prodi Pendidikan Akuntansi, Universitas Pendidikan Indonesia, Bandung, Indonesia
Keywords: Profitability, Liquidity, Market Value, Stock Return.
Abstract: This research purpose to prove the influence profitability, liquidity and market value to towards the stock
return at mining companies listed on Indonesia Stock Exchange. This study consists of independent
variables and dependent variables. The independent variables in this research are profitability, liquidity and
market value, while the dependent variable in this research is stock return. The profitability variable is
measured by Return on Assets (ROA), the liquidity variable measured by the Current Ratio (CR), the
variable of market value measured by Price to Book Value (PBV) and Stock Return variable is measured
with capital gain. This research design used quantitative research with descriptive study with verification
method. The population in this research is mining companies listed on the Indonesia Stock Exchange (BEI)
of 36 companies. The technique for collecting samples is based on purposive sampling to get 10 companies.
Statistical analysis used in this research is multiple linear regression analysis with regression significance
test (Test F) and significance test of regression coefficient (t test). F test results show that the regression
model can be used to make conclusions that illustrate profitability, liquidity and market value to stock
returns. The result of t test statistic shows that profitability and liquidity have no effect on stock return,
while market value have positive effect to stock return.
1 INTRODUCTION
The main objective of investors to invest their funds
in the capital market is to obtain a reward or return.
Return by Margaretha (2011: 62) is "expected gains
from investments." High return of stock will give a
positive signal for market related to the level of
profits earned from investing, the higher the stock
return, the higher the demand of investors to the
stock, but conversely the lower stock returns for
investors, the demand will drop.
The mining sector is a driving sector of economy
in Indonesia. Quoted from Indonesia investmen.com
(2015), In 2008 the global financial crisis that
caused commodity prices to decline so quickly. The
financial crisis impacted the mining sector for
commodity exports contribute more than 50% of
Indonesia's total exports. In the 2nd half of 2009
until early 2011 coal prices rebounded sharply. The
decline in global economic activity has reduced
demand for coal, thus causing a decrease in coal
prices since the beginning of 2011. It gives affect
stock prices in the mining sector, which indirectly
affect stock returns received by investors. Stock
returns that are strongly influenced by the existence
of the phenomenon is the value of capital gains.
Stock returns in the form of capital gains in mining
companies listed on the Stock Exchange from 2012
to 2015 is described in Table 1.
Table 1: Stock return in mining company from 2012 to
2015.
Code
Stock Return
2012
2013
2014
2015
ADRO
-0.10
-0,31
-0.05
-0.50
ARII
-0.01
-0.44
-0.47
-0.11
ATPK
-0.22
1.09
-0.23
-0.07
BORN
-0.35
-0.68
-0.71
0,00
BRAU
-0.53
-0.05
-0.66
0.30
EARTH
-0.73
-0.49
-0.73
-0.38
BYAN
-0.53
0.01
-0.22
0.18
Rosmayanti, R., Purnamasari, I. and Tanuatmodjo, H.
The Influence of Profitability, Liquidity and Market Value on Stock Returns - Research to Mining Companies on Indonesia Stock Exchange from 2012 To 2016.
In Proceedings of the 1st International Conference on Islamic Economics, Business, and Philanthropy (ICIEBP 2017) - Transforming Islamic Economy and Societies, pages 415-420
ISBN: 978-989-758-315-5
Copyright © 2018 by SCITEPRESS – Science and Technology Publications, Lda. All rights reserved
415

Code
Stock Return
2012
2013
2014
2015
GOD
-0.36
0,00
0,00
0,00
DOID
-0.77
-0.40
1.10
-0.72
GEMS
-0.13
-0.08
-0.08
-0.30
Source: Indonesia Stock Exchange (2017) (Data
processing)
From table 1 obtained information that a lot of
issuers who are in the mining sector had a negative
return. Negative returns are called with capital loss.
Capital loss occurs if the stock price this year is
lower than last year's, which the capital loss be an
indication of poor performance of the company. The
emergence of a capital loss will result in reduced
investor confidence to invest and make it possible
for investors to shift investments in other listed
companies are considered more profitable. Lack of
interest of investors to invest in mining companies
will decrease the amount of funds obtained from the
mining sector, capital market, it will disruption to
the company's operations and the worst effects of
company bankruptcies.
Based on the presentation, it is necessary to
study the factors of stock returns. By knowing the
factors of stock returns, the company can prevent
low stock returns. Resmi (2002: 280) stated that
“there is one important factor that affects investors
in investing namely financial performance." The
financial performance can be measured by financial
ratios.
Previous research on the effect of financial
performance on stock return is research conducted
by Parvati and Sudiartha (2016) in manufacturing
company shows that profitability ratio, liquidity
ratio, and market value ratio have positive and
significant influence to stock return while leverage
ratio has significant negative effect to return while
research conducted by Raningsih and Son (2015) on
food and beverage companies shows that
profitability and leverage ratios have a positive
effect on stock returns, liquidity ratios have a
negative effect on stock returns, while the ratio of
activity and firm size has no effect on stock return.
Another study conducted by Akbar (2015) shows
that Price Earnings Ratio (PER) and Debt to Equity
Ratio (DER) have a negative effect on stock return,
while Price Book Value (PBV) has a positive effect
on stock return.
In this study researchers will focus the research
on financial ratios. This is based on previous
research where financial ratios have different effects
on stock returns, thus motivating researchers to
compare this research with previous research on
different objects and years. In addition, financial
ratios are a tool used in fundamental analysis
techniques, where fundamental analysis is much
taken into consideration by investors to invest in
companies that fall into the blue-chip category, this
is in line with the object of research used by
researchers namely the mining sector. This study
was conducted to determine how the influence of
profitability, liquidity and market value to stock
return.
2 LITERATURE REVIEW
2.1 Signalling Theory
Everything is done by the company containing the
information. Information is an important element for
investors and businessmen because the information
will provide an overview of companies in the past
and in the future. It is in line with the signaling
theory or the theory of signaling. According
Jogiyanto (2008: 392) "information published as an
announcement will give a signal to investors in
making investment decisions." The financial report
is one of the signals given by the management to the
owners as a form of accountability.
The signal given company can be a good (good
news) and also be bad (bad news) for external
parties. Announcement of the amount of stock
returns can be considered as a good signal and may
also be considered as a bad signal. Stock Return that
generate capital gains will be received positively by
market and increase investor confidence that the
company has good prospects in the future. While the
stock returns that result capital, loss will be
considered as a bad signal to the market, because the
company is considered to have poor performance
and not a good prospect.
2.2 Stock Return
Stock Return defined as a return value of stock
investment activities. Samson (2006: 291) states that
"stock return is income expressed as a percentage of
the initial capital investment." These advantages can
be either dividend or capital gain (loss). Another
opinion expressed by Margaretha (2011: 62) that
"return is the expected profit from an investment that
can be expressed in the currency or percentage."
Stock Return is divided into two, namely are
realization return and expected return. Return
ICIEBP 2017 - 1st International Conference on Islamic Economics, Business and Philanthropy
416

expectations is the expected return, while the actual
return is the return that actually happened. In this
study, researchers will use the actual stock returns.
Actual stock returns generated from the difference
stock price current year with the previous year,
divided by the share price of the previous year.
Actual stock returns also used by investors to
determine the expected return in the future. The
amount of actual stock returns or the actual return is
calculated by:
(Ali, 2010: 71)
Information:
Ri: value capital gains i in period t
Pit: The closing price of the stock i in period t
Pit-1: The closing price of the stock i in period t-1
(previous)
Return have a direct relationship with the risk,
the higher the return obtained, the higher the risk to
be borne. Therefore, investors should really consider
the risks in investing activities.
2.3 Profitability
Profitability related to profit or gain. The company's
main purpose is to generate profit formed.
According Harahap (2008: 219) "Profitability is the
company's ability to profit through all available
resources, sales, cash, assets, capital." Gitman
(2009: 61) states "Profitability as a group, reviews
these measures enable the analyst to evaluate the
firm's profits with respect to a given level of sales, a
certain level of assets, or the owner's investments. "It
can be interpreted profitability is a group that is used
to evaluate the company's profit in relation to sales,
the value of assets or investment property.
Companies who have high profitability indicates
the company has a good performance, so as to
enhance the company's future prospects. It thus
reinforced by the statement Hadi (2011: 135) "the
better the profitability ratio, the better illustrate the
ability of the high profitability of companies that
eventually investors will earn a good return."
Furthermore, Ang (1997: 33) states that "the greater
the ROA shows better performance, since the greater
the return value."
2.4 Liquidity
Liquidity is derived from the liquid or illiquid,
which means easy to be liquefied. Definition of
liquidity according Gitman (2009: 54) "Liquidity is
ability to satisfy its short-term obligations."
According Harahap (2008: 219) "Liquidity is the
ability of the company completed all the short-term
needs."
Companies are able to meet short-term
obligations of the company can be said to be illiquid,
and vice versa if the company is unable to meet its
short-term obligations, the company is said to be
illiquid. The company should have good liquidity, as
liquidity will describe the company's ability to
completed short-term obligations. With the expected
high liquidity, the company is also able to provide a
high stock returns. Thus, the opinion in accordance
with the statement of Murhadi (2013:34) on the
effect of liquidity on stock returns are "assets with
high liquidity will provide the expected return is also
high."
2.5 Market value
The market value by Azis (2015: 85) is "stock prices
in the stock market at a time determined by the
demand and supply of the stock price of market
participants." According Sudana (2011: 24) "the
ratio of market value is the performance appraisal
shares of companies that have been traded in the
capital market." Myers (2003: 286) states" the
market value is the amount that investors are willing
to pay for the shares of the firm. "
The market value describes the achievements of
companies in the capital market. Good company is a
company that has shares at a high price. It is an
attraction for investors to invest because investors
assume if shares purchased today will increase the
price in the future, so that investors will have benefit
from the difference between the purchase price
shares at the current price the stock sold. According
Tandelilin (2010: 51) "if the securities to increase
the price, then the investor will get additional profit
from the difference in prices that occurred." From
the above it can be concluded that the market value
will have an effect on stock returns. This is because
the stock return is the difference between the current
share price sold and stock price when purchased.
The higher the stock price will lead to higher margin
thus obtained stock returns greater.
3 METHODOLOGIES
The research design used descriptive and
verification. Descriptive method used in this study to
describe of profitability, liquidity, market value and
The Influence of Profitability, Liquidity and Market Value on Stock Returns - Research to Mining Companies on Indonesia Stock Exchange
from 2012 To 2016
417

stock returns in mining companies listed on the
Stock Exchange in 2012-2016. While the
verification method used in this study to test the
effect profitability, liquidity and market value of the
stock return in mining companies listed on the Stock
Exchange in 2012-2016.
The independent variable of this research is
profitability, liquidity and market value. The
dependent variable used is return stock. The
population in this study is the mining sector
companies listed on the Indonesia Stock Exchange
amounted 36 company. Sampling technique used in
this research is purposive sampling with certain
criteria and obtained a sample of 10 the company for
five years from 2012-2016 so that the observation
data in this research were 50 data.
4 RESULT AND DISCUSSION
4.1 The Influence Profitability on Stock
Return in Mining Company Listed
in Indonesia Stock Exchange from
2012 to 2016
ROA is the ratio between profit after tax of the
company with total assets of the company at a
certain period. ROA level is said to be healthy if
they are above 9%. However, ROA conditions in
mining companies listed on the Indonesia Stock
Exchange in 2012 until 2016 can be said to be
unhealthy, because many companies have value
ROA below 9%. The results of multiple linear
regression obtained regression coefficient
profitability have value -0.009872. This suggests
that no effect profitability on stock returns. ROA
coefficient value -0.009872 means that any increase
in the profitability of one per cent, it will be
followed by decrease in stock returns amounted to
0.009872.
However, after the regression coefficient
significance test (t test), the t value of profitability is
-0.573128 with probability equal to 0.5700. Because
the value of t arithmetic ≤ t table, then profitability
has no effect on stock returns in mining companies
listed on the Indonesia Stock Exchange in 2012-
2016. It is known that significant value is greater
than the expected significant level, so it is not
significant because 57.00% over the expected
provision of 5%. This suggests that the increase or
decrease in profitability does not affect on stock
returns.
Rejection of this hypothesis can be seen because
many companies are experiencing unhealthy
profitability during the period 2012 to 2016. It is
said is not healthy because the average value of
ROA mining company during 2012 through 2016
were below the limit of minimum standards that
have been established which is 9%. Companies that
suffered losses would cause the company ROA
value is negative, this is because the value of ROA is
calculated by comparing the profit after tax to total
assets in the company.
The research data also shows the movement of
the ROA value is inversely proportional to the
movement of the stock return, the higher average
value of ROA, the average stock return is lower.
Based on the results of data processing discovered
that the average ROA in 2012 amounted to 7.61
while the average stock return in 2012 amounted to -
0.29, so even in 2013 when the average ROA
declined to 1.99, the mean average stock returns
increased to 0.05. ROA company will give a
negative signal to the market, which will be received
by investors. Negative ROA is an indication that the
company has a bad prospect in the future, so that it
will be accepted as bad information or bad news by
investors.
The results of this study are not consistent with
the theory of reference stated by Hadi (2011) which
states that the better the profitability ratio, the better
illustrate the ability of the high profitability of
companies that eventually investors will earn a good
return. Furthermore, Ang (1997) also argues that the
greater the ROA shows better performance, since the
greater the return value.
4.2 The Influence of Liquidity on Stock
Return in Mining Company Listed
in Indonesia Stock Exchange from
2012 to 2016
Based on research data that has been processed can
be seen that the value of the Current Ratio mining
company located in unsanitary conditions, this is
because the current ratio minimum value the
company is 2. The result of multiple linear
regression testing regression coefficient values
obtained -0.141415, this have meaning any increase
in liquidity by one percent, it will be followed by a
decrease in stock returns 0.141415. However, after
the regression coefficient significance test (t test),
obtained t value liquidity variables is -0.269642 with
probability 0.7889. Because the value of t arithmetic
≤ t table, then liquidity has no effect on stock
ICIEBP 2017 - 1st International Conference on Islamic Economics, Business and Philanthropy
418

returns. Its mean that increase or decrease of
liquidity level has no effect on the increase or
decrease in stock returns. Liquidity significance
value is greater than the expected significant level,
meaning there is significant due to mistakes by
78.89% over the expected conditions.
Rejection of this hypothesis can be seen from the
variable conditions of liquidity and stock returns in
2012-2016. The average of liquidity mining
companies in 2012 amounted to 2.28 while the
average stock return of -0.29. In 2013 the average
liquidity decreased to 1.96 while stock returns
increased to 0.05. So even in 2014 and 2015, the
movement of liquidity is not in line with the
movement of the stock return. In addition, the
rejection of the hypothesis due to the company's
liquidity level information is not taken into
consideration by investors in investing.
The results of this study are not consistent with
the theory of reference which states that assets with
high liquidity will provide a high expected return. In
addition, Rahardjo (2006) also states that the criteria
for companies that have a strong financial position is
able to meet the obligations to outside parties in a
timely manner. The higher a company's ability to
meet its obligations, then the company can be said to
be strong in financial position and increase the
confidence of investors to invest.
4.3 The Influence of Market Value on
Stock Return in Mining Companies
Listed in Indonesia Stock Exchange
from 2012 to 2016
The market value is ability investors to pay per one
share. The market value is the description of the
company's achievements in the capital market. The
market value in this study were measured with a
Price to Book Value (PBV). PBV is the ratio
calculated comparing between the market price of
shares and book value. The increase in the stock
price will be made either by the investor
information, so it can increase the demand of
investment. This indicates that the market value will
have positive influence on stock returns.
The test results of multiple linear regression
obtained regression coefficient value of the market
value is 0.900131. 0.900131 coefficient value means
that the market value has increased one, then stock
returns will increase by 0.900131, and vice versa if
the market value has decreased once the stock
returns will also be decreased by 0.900131. After
testing the significance of regression coefficients (t
test), the value of t arithmetic market value is
5.831465 with probability equal to 0.0000. Because
the value of t count> t table, then the market value
positive effect on stock returns. Significance value
less than the market value of the expected significant
level, so that means significant because mistakes
zero percent under the provisions of 5%.
The results of this study indicate that the market
value of a positive effect on returns, meaning each
an increasing rate of the stock market stock returns
received by investors are increasingly rising. The
positive influence shows that the market value has a
direct relationship with stock returns. On average
PBV for four years from 2012 to 2015 decline.
However, the average PBV values can still be said to
be good, it is because the average value of PBV
shows the value of more than 1. During the years
2012 to 2016, the average PBV highest value
achieved in 2016 with an average value of 1.97
PBV.
This study is in line with the theory of reference
stated by Brigham and Houston (2010) which states
that the company viewed favorably by investors is
sold with a high MBV. The higher MBV, the higher
the investors' assessment of the company. Ang
(1997) also argues that the higher the value, the
higher PBV company was appraised by investors
compared to the funds invested in the company.
Additionally, Tandelilin (2010) also revealed a
similar security that if the price increases, then the
investor will receive additional profit from the
difference in prices that occurred.
5 CONCULUSION
The conclusions in this research are the profitability
in the mining company listed on the Indonesia Stock
Exchange in 2012-2016 are in the unhealthy
conditions. Liquidity in mining companies listed on
the Indonesia Stock Exchange in 2012-2016 are in a
healthy condition. The market value of mining
companies listed on the Indonesia Stock Exchange
in 2012-2016 are in a healthy condition.
Stock Return in mining companies listed on the
Indonesia Stock Exchange in 2012-2016 are in a
pretty healthy state. Profitability has no effect on the
Stock Return in Mining Company listed on the
Indonesia Stock Exchange in 2012-2016. Liquidity
has no effect on the Stock Return in Mining
Company listed on the Indonesia Stock Exchange in
2012-2016. The market value has positive influence
on Stock Return in Mining Company listed on the
Indonesia Stock Exchange in 2012-2016.
The Influence of Profitability, Liquidity and Market Value on Stock Returns - Research to Mining Companies on Indonesia Stock Exchange
from 2012 To 2016
419

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