EFFECT OF MARKET VALUE ADDED, PRICE TO BOOK VALUE RATIO AND RETURN ON EQUITY TO STOCK RETURN IN PROPERTY AND REAL ESTATE INDUSTRY THAT LISTED IN INDONESIA STOCK EXCHANGE

Abstract

This study tests the hypothesis of the effect of Market Value Added (MVA), Price to Book Value (PBV), and Return on Equity (ROE) to stock return. The purpose of this study is to provide empirical evidence of MVA, PBV, and ROE affect stock return. The population taken from Property and Real Estate industry that listed in Indonesia Stock Exchange with 49 companies. The sample taken for this research is 10 companies from population in the period 2012-2017. The researcher use panel data regression, partial test (T-Test), simultaneously test (F-Test), and coefficient of determination (R-Square) to analyze the hypothesis and to get result in this study. The result indicates that MVA and PBV have insignificant effect toward stock return, but ROE has significant effect to stock return. Therefore, Indonesian investor can use ROE to evaluating companies for investment decision.