Dividend Policy, Economic Value Added, Market β, Firm Size and Stock Return

Dwi Asih Surjandari, Lela Nurlaela Wati


This study aims to analyze the Effect of Dividend Policy, Economic Value Added (EVA), Market β and Firm Size on Stock Return and the existence of Firm Size in moderating these effects of blue-chip stock category listed in Indonesia Stock Exchange (IDX) during 2015 up to 2019 period. This study is a confirmatory research involving secondary data collected from annual report available at IDX website. The sample used is purposive sampling and research object is Dividend Policy, EVA, Market β and Firm Size as independent variables and Stock Return as dependent variable, and Firm Size as moderates variable. The analysis is performed using E-views 11.0 version. The result shows that Dividend Policy has significant negative effects while EVA and Market β has no effect on Stock Return. In addition, Firm Size moderates the relation between Dividend Policy and Stock Return, while having no moderating effect to the relation between EVA, Market β and Stock Return. The findings of this research imply that, for high stock performance like blue-chip stock, Dividend Policy affects the Stock Return and Firm Size moderates this effect.

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DOI: https://doi.org/10.5430/afr.v9n3p53


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Accounting and Finance Research
ISSN 1927-5986 (Print)   ISSN 1927-5994 (Online) Email: afr@sciedupress.com

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