Return on assets, return on equity, earnings per share, dividend yield, and book-to-market ratio’s effects on stock return

Return on assets, return on equity, earnings per share, dividend yield, and book-to-market ratio’s effects on stock return


  • Annisa Aulia Rahma Atmariani Universitas Airlangga
  • Dian Agustia Universitas Airlangga



earnings per share, dividend yield, book-to-market ratio’s, Return on assets and return on equity, stock return


This research intends to investigate the ability of Return on assets (ROA), return on equity (ROE), earnings per share (EPS), dividend yield (DY), and book-to-market ratio (BMR) on stock returns. Stock investment is one strategy for investors to channel their finances while boosting wealth due to the high return on equities earned. In this study, company information is represented by financial ratios, which play a significant role in guiding investors in identifying which companies have the potential to give the highest number of returns. With 164 total observations, this research used 56 companies that were part of the LQ45 index on the Indonesian Stock Exchange (IDX) in the 2019–2022 timeframe as a sample study with the aim to examine the effects of ROA, ROE, EPS, dividend yield, and book-to-market ratio on stock return. Using STATA 14.0 software, double linear regression analysis is used in the hypothesis test. The results of this research, as proven by the regression analysis, are as follows: (1) the book-to-market ratio negatively affects stock return; and (2) ROA, ROE, EPS, and dividend yield have no bearing on stock return. This study emphasizes the value of diversifying investment strategies and avoiding a narrow range of financial ratios when choosing which stocks to buy. Investors should evaluate general business conditions and take a wider range of issues into account.


Download data is not yet available.


Abdullah, P. M. (2015). Metodologi Penelitian Kuantitatif. Aswaja Pressindo.

Alajekwu, D. U. B., & Ezeabasili, P. V. N. (2020). British Journal of Management and Marketing Studies Dividend Policy And Stock Market Price Volatility In The Nigerian Stock Market. British Journal of Management and Marketing Studies, 3(4), 37–52.

Alipudin, A., & Oktaviani, R. (2016). Pengaruh EPS, ROE, ROA, Dan DER terhadap Harga Saham pada Perusahaan Sub Sektor Semen yang Terdaftar di BEI. JIAFE (Jurnal Ilmiah Akuntansi Fakultas Ekonomi), 2(1), 1–22. DOI:

Allozi, N. M., & Obeidat, G. S. (2016). The Relationship between the Stock Return and Financial Indicators (Profitability, Leverage): An Empirical Study on Manufacturing Companies Listed in Amman Stock Exchange. Journal of Social Sciences (COES&RJ-JSS), 5(3), 408–424. DOI:

Arslan, M., & Zaman, R. (2014). Impact of Dividend Yield and Price Earnings Ratio on Stock Returns: A Study Non-Financial listed Firms of Pakistan. Research Journal of Finance and Accounting, 5(19), 2222–2847.

Aryanti, A., & Mawardi, M. (2016). Pengaruh ROA, ROE, NPM dan CR terhadap Return Saham pada perusahaan yang terdaftar di Jakarta Islamic Index (JII). I-Finance, 2(2), 54–71.

Blaine, B. E. (2018). Winsorizing. The SAGE Encyclopedia of Educational Research, Measurement, and Evaluation, 1817–1818.

Brigham, E. F., & Houston, J. F. (2016). Essentials of Financial Management (14th ed.). Cengage Learning Asia.

Brown, K. C., & Reilly, F. K. (2012). Analysis of Investments & Management of Portfolios (10th ed.). Thomson South-Western.

Bulutoding, L., Parmitasari, R. D. A., & Dahlan, M. A. (2018). Pengaruh Return on Asset (ROA) dan Debt to Equity Ratio (DER) terhadap Harga Saham dengan Kebijakan Dividen sebagai Variabel Intervening. Jurnal Ilmiah Akuntansi Peradaban, IV(2), 1–14.

Bursa Efek Indonesia (BEI). (2022). Prospektus.

Bustani, B. (2020). The Effect Of Return On Assets (ROA), Net Profit Margin (NPM), Dividend Payout Ratio (DPR) And Dividend Yield (DY) On Stock Prices In The Subsectors Insurance Company Listed In Indonesia Stock Exchange Period 2015-2018. Ilomata International Journal of Tax and Accounting, 1(3), 170–178. DOI:

Dempsey, M. (2010). The Book-to-Market Equity Ratio as a Proxy for Risk: Evidence from Australian Markets. Australian Journal of Management, 35(1), 7–21. DOI:

Din, W. U. (2017). Stock Return Predictability with Financial Ratios: Evidence from PSX 100 Index Companies. SSRN Electronic Journal, 1–15. DOI:

Erzad, A. M., & Erzad, A. M. (2017). The Effect of Financial Ratios Toward Sharia Stock Return in Jakarta Islamic Index (JII). QIJIS (Qudus International Journal of Islamic Studies), 5(1), 129. DOI:

Harlan, S., & Wijaya, H. (2022). Pengaruh ROA, ROE, EPS, & PBV terhadap Stock Price dan Stock Return. Jurnal Ekonomi, 27(03), 202-223. DOI:

Hasan, S. S. U., Farooq, S., & Muddassir, M. (2015). Stock Returns Indicators: Debt to Equity, Book to Market, Firm Size and Sales to Price. Journal of Poverty, Investment and Development, 16(1981), 25–32.

Horne, J. V., & Wachowicz, J. (2013). Fundamentals of Financial Management (13th ed.). Pearson Education Ltd.

Justina, D. (2018). Pengaruh Firm Size dan Market to Book Ratio terhadap Return Portofolio. Jurnal Manajemen Dan Bisnis Sriwijaya, 15(2), 138–145. DOI:

Leone, A. J., Minutti-Meza, M., & Wasley, C. E. (2019). Influential Observations and Inference in Accounting Research. The Accounting Review, 94(6), 337–364. DOI:

Marito, B. C., & Sjarif, A. D. (2020). The Impact of Current Ratio , Debt to Equity Ratio , Return on Assets , Dividend Yield , and Market Capitalization on Stock Return ( Evidence from Listed Manufacturing Companies in Indonesia Stock Exchange ). Scientific Journal of PPI-UMK, 7(1), 10–16.

Musallam, S. R. (2018). Exploring the Relationship between Financial Ratios and Market Stock Returns. Eurasian Journal of Business and Economics, 11(21), 101–116. DOI:

Nugroho, B. Y. (2020). The Effect of Book to Market Ratio, Profitability, and Investment on Stock Return. SSRG International Journal of Economics and Management Studies (SSRG-IJEMS), 7(6), 102–107. DOI:

Oktyawati, D., & Agustia, D. (2014). Pengaruh Profitabilitas, Leverage, dan Nilai Perusahaan Terhadap Income Smoothing dan Return Saham. Jurnal Akuntansi Dan Auditing, 10(2), 195–214.

Petersen, M. A. (2009). Estimating standard errors in finance panel data sets: Comparing approaches. The Review of Financial Studies, 22(1), 435–480. DOI:

Rahman, M. L., Shamsuddin, A., & Lee, D. (2019). Predictive power of dividend yields and interest rates for stock returns in South Asia: Evidence from a bias-corrected estimator. International Review of Economics and Finance, 62(April), 267–286. DOI:

Safari, M. (2011). Dividend Yield and Stock Return in Different Economic Environment: Evidence from Malaysia. SSRN Electronic Journal, 1–9. DOI:

Santosa, P. W. (2019). Financial Performance, Exchange Rate and Stock Return: Evidence from Manufacturing Sector. Jurnal Manajemen Teknologi, 18(3), 205–217. DOI:

Santosa, P. W., & Puspitasari, N. (2019). Corporate Fundamentals, Bi Rate And Systematic Risk: Evidence From Indonesia Stock Exchange. Jurnal Manajemen, 23(1), 40–53. DOI:

Santoso, H., Owen, K., & Raissa, Z. (2021). Analysis of ROA, ROE, CR, and DER on Stock Return of Non-Banking Companies in LQ-45 Index in Indonesia Stock Exchange 2015-2019. Budapest International Research and Critics Institute-Journal (BIRCI-Journal), 4(4), 7942–7954.

Schober, P., & Schwarte, L. A. (2018). Correlation coefficients: Appropriate use and interpretation. Anesthesia and Analgesia, 126(5), 1763–1768. DOI:

Sha, T. L. (2017). Effects of Price Earnings Ratio, Earnings Per Share, Book to Market Ratio and Gross Domestic Product on Stock Prices of Property and Real Estate Companies in Indonesia Stock Exchange. International Journal of Economic Perspectives, 11(1), 1743–1754.

Subramanyam, K. R. (2014). Financial Statement Analysis. In Paper Knowledge . Toward a Media History of Documents (11th ed., Vol. 7, Issue 2). McGraw-Hill Education.

Tumonggor, M., Murni, S., & Van Rate, P. (2017). Analisis Pengaruh Current Ratio, Return on Equity, Debt to Equity Ratio, dan Growth terhadap Return Saham pada Cosmetics and Household Industry yang Terdaftar di BEI Periode 2010-2016. Jurnal EMBA: Jurnal Riset Ekonomi, Manajemen, Bisnis Dan Akuntansi, 5(2), 2203–2210.

Usman, B., Lestari, H. S., & Sofyan, S. (2021). The Effect of Dividend Policy on Share Price Manufacturing Companies in Indonesia. Proceedings of the 3rd International Conference on Banking, Accounting, Management and Economics (ICOBAME 2020), 169, 117–122. DOI:

Wagiri, W. A. (2013). Pengaruh Dividend Yield, B/M (Book to Market), dan Earning Yield terhadap Harga Saham Perusahaan pada Sektor Aneka Industri Periode 2007-2011. Jurnal Ilmiah Mahasiswa Universitas Surabaya, 2(1), 1–27.




How to Cite

Atmariani, A. A. R., & Agustia, D. (2024). Return on assets, return on equity, earnings per share, dividend yield, and book-to-market ratio’s effects on stock return. SOSIOHUMANIORA: Jurnal Ilmiah Ilmu Sosial Dan Humaniora, 10(1), 30–45.