Factors Affecting SOEs Returns in IDX

Abstract

This study aims to examine the effect of corporate social responsibility programs,
fundamental and macroeconomic variables on returns in SOEs on the IDX. This
study uses financial report documentation data obtained from the pages of the
Financial Services Authority, Bank Indonesia, and the Central Statistics Agency for
the period 2018-2021 so that the number of observations is 80. The data analysis
method uses a static panel regression approach. The results of the study found that
the stock returns of SOEs were only determined by the price earning ratio. While
there are no other variables that affect stock returns, including the implementation
of corporate social responsibility programs that have been carried out by state
owned companies. Furthermore, this study finds that the return on assets of state
owned companies is determined by inflation, current ratio, leverage and earnings
per share. While the variables of corporate social responsibility, price earning
ratio, gross domestic product and exchange rate have no effect on return on assets.
Meanwhile, other findings of this study found that corporate social responsibility
has a negative effect on return on assets, while in addition to earnings per share,
exchange rates and inflation. While the other variables used do not affect the
return on equity.