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ITSCIENCEITSCIENCE

Journal International Journal of Multidisciplinary Sciences and ArtsInternational Journal of Multidisciplinary Sciences and Arts Abstract

This study investigates the listed on the Indonesia Stock Exchange during 2020–2024. A quantitative approach was employed using Structural Equation Modeling Partial Least Squares (SEM-PLS) with Smart PLS software. The sample consisted of 61 consumer goods companies selected through purposive sampling. The results indicate that net profit margin has no significant effect on stock returns, suggesting that profitability does not necessarily influence investor decisions in this sector. Inflation, however, shows a positive and significant effect on stock returns, highlighting that inflationary changes encourage investors to adjust their investment strategies. In contrast, the Bank Indonesia interest rate does not significantly affect stock returns, implying that interest rate fluctuations are not a primary factor for investors in consumer goods companies. Furthermore, the residual test demonstrates that dividend policy, measured by the dividend payout ratio, does not moderate the relationships between financial ratios, macroeconomic variables, and stock returns. These findings imply that dividend distribution alone does not guarantee investor interest, as investors tend to prioritize fundamental and long-term company performance over short-term payouts. The study contributes to the literature on stock return determinants by integrating firm level profitability and macroeconomic conditions with dividend policy as a moderating factor. It also provides practical insights for investors and managers, particularly regarding the limited role of dividend policy in influencing investment behavior in the Indonesian consumer goods sector.

Conclusion

The research findings demonstrate that net profit margin does not influence stock returns in consumer goods companies.Conversely, inflation exhibits a positive and significant impact on stock returns, indicating that higher inflation can lead to a decline in stock prices.Furthermore, the Bank Indonesia interest rate does not significantly affect stock returns, and the dividend payout ratio does not moderate the relationship between financial ratios, macroeconomic variables, and stock returns.

Future Research

Future research could explore the impact of corporate governance structures on the relationship between financial performance and stock returns in the Indonesian consumer goods sector, investigating whether stronger governance mechanisms can enhance investor confidence and mitigate the effects of macroeconomic volatility. Additionally, a longitudinal study tracking investor sentiment and its correlation with stock price movements in this sector could provide valuable insights into behavioral factors influencing investment decisions. Finally, examining the role of alternative investment strategies, such as value investing or growth investing, within the Indonesian consumer goods market could reveal whether specific approaches are more resilient to inflationary pressures and interest rate fluctuations, offering a more nuanced understanding of optimal portfolio allocation strategies for investors.

References

1. Determinants of Stock Returns with Dividend Policy as a Moderating Variable in Consumer Goods Companies... jurnal.itscience.org/index.php/ijmdsa/article/view/6967Determinants of Stock Returns with Dividend Policy as a Moderating Variable in Consumer Goods Companies jurnal itscience index php ijmdsa article view 6967

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