What Drives the Stock Returns? Examining The Fundamental Factors on the Consumer Defensive Sector Companies

The purpose of this study is to investigate the effects of fundamental factors, namely Quick Ratio (QR), Total Assets Turnover (TATO), Debt to Equity Ratio (DER), Price to Book Value (PBV), Net Profit Margin (NPM), Return on Assets (ROA), and Earnings Per Share (EPS) on the stock return of the listed defensive stock sector companies over the period 2016-2018. The research population included defensive stock sector firms that remained listed on the Indonesian Stock Exchange between 2016 and 2018. Purposive sampling was used to pick the sample, which consisted of 79 firms. The data collection technique used was documentation. Using the STATA 16 program, the research data were analyzed using the panel data regression approach with a significance level of 0.05. This analysis demonstrated that EPS, DER, NPM, and QR all had a negative, but not statistically significant, effect on stock return. PBV and TATO both had a favorable but negligible effect on stock return. Meanwhile, ROA produced a considerable positive and significant effect on stock returns.