EFFECT OF ENTERPRISES’ FUNDAMENTAL FACTORS AND SYSTEMATIC RISK ON STOCK RETURNS

: This study aims to determine the influence of fundamental factors of companies and systematic risks on stock returns. The type of data used in this study is secondary data. The data is obtained from annual reports and financial reports sourced from www.idx.co.id. The population used in the study is manufacturing companies listed on the Indonesia Stock Exchange (IDX) for the period 2018 – 2021. The samples used in this study were 42 manufacturing companies listed on the IDX that met the criteria. Data were analyzed using multiple linear regression method. The results of this study indicate that the enterprise's fundamental factors affect stock returns. There are significant differences in the variable size of enterprise asset sizes before and during the Covid-19 pandemic. However, there were no significant differences in liquidity variables, debt to equity ratio, return on equity, earnings per share, price earnings ratio and systematic risk before and during the Covid-19 pandemic.


INTRODUCTION
Manufacturing enterprises were chosen for this study due to their generally higher business risk compared to other industry types.
H7: Systematic Risk affects stock return positively

RESEARCH METHOD
The pandemic.This is due to the fact that the lower the current ratio, the worse the enterprise's condition, where the current assets the enterprise holds become limited in covering its current liabilities.
Conversely, the higher the current ratio, the better the enterprise's condition.The reason for this difference can be associated with the decline in revenue or sales for the majority of companies during the pandemic.It's important to note that the enterprise's asset size existed before the pandemic occurred, and there were no asset sale or purchase transactions.However, revenue or sales, which are used as a factor in calculating the asset size, significantly affect the results of this ratio.
The higher an enterprise's revenue or sales, the higher the asset size ratio it generates.Conversely, if an enterprise's revenue or sales are low, the asset size ratio will also be low.
Therefore, the decline in revenue or sales during the pandemic can explain the significant difference in the size of enterprise assets before and during the pandemic.Previous research has supported the finding that disrupted economic conditions, such as a pandemic, can significantly impact an enterprise's asset size.Some previous studies also revealed significant changes in the size of enterprise assets during periods of crisis or economic instability.
For example, a study on the impact of the global financial crisis on the banking sector found a significant decline in the size of enterprise assets during that crisis (Choi, 2021).Other research involving manufacturing companies also revealed a significant decrease in asset size during periods of economic instability (Mok et al., 2021).
Moreover, other studies examining the impact of the Covid-19 pandemic on various economic sectors also showed significant changes in the size of enterprise assets.For instance, research analyzing the impact of the Covid-19 pandemic on retail companies found a significant decline in the size of enterprise assets over a certain time period (Luo et al., 2021).The lack of a significant difference can be attributed to the fact that an enterprise's equity was already in place or invested before the pandemic occurred.The Return on Equity ratio depicts the level of profit generated by the enterprise based on the equity it possesses (Gustmainar & Mariani, 2018).The profit used as the numerator in the calculation of this ratio has a significant impact on its results.
The higher the profit an enterprise earns, the higher the Return on Equity will be.The lack of a significant difference can be attributed to several factors, one of which is the possibility that companies were unable to maximize the number of common shares owned by investors (Hertina & Saudi, 2019).This means that companies were not able to achieve the maximum profit potential given the available shares.In theory, after an acquisition, the number of common shares owned by investors should increase, which should ideally increase the enterprise's earnings.
However, the research results indicate a mismatch with this theory.
In this context, the lack of a significant difference in Earnings per Share between the periods before and during the Covid-19 pandemic suggests that the pandemic did not have a significant impact on the earnings per share generated by the companies. Other figure of 6,196.102,and from October 2019, the development of the IHSG

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the data above, it can also be seen that the current ratio for companies in the manufacturing sector has not dropped significantly because the ongoing pandemic has not been too long.Therefore, the enterprise's assets are still in good condition, and the current assets they hold are still capable of covering or paying off their shortterm liabilities.It can be said that liquidity, represented by the current ratio in manufacturing companies, remains good during the pandemic because the majority of companies have seen an increase in their current ratios.Relevant previous studies have investigated the relationship between a enterprise's liquidity during the Covid-19 pandemic.For example, research conducted by Gustmainar & Mariani (2018) and Priyanto & Robiyanto (2020) has examined the effect of liquidity on stock returns.However, the results of this research are not consistent with the findings presented in previous studies.In those studies, most researchers found that liquidity has a significant impact on stock returns.However, the research you mentioned did not find a significant relationship between liquidity and stock returns during the Covid-19 pandemic.This suggests differences in research results that may be due to differences in samples, research methods, the study period, and different economic contexts.Therefore, further in-depth research is essential to gain a clearer understanding of the impact of liquidity on stock returns during the Covid-19 pandemic or in other unusual economic situations.

THEORETICAL FRAMEWORK Effect of Enterprises' Fundamental on Stock Return
Achmad Rifai 2 Dwi Septiani 3 Fahri Hananto Yasin 4 Lenny Widiawati 5 Fundamental analysis is employed to assess a enterprise's future prospects, which are influenced by both micro and Yanuar Ramadhan 1

Table 1 . Results of Multiple Linear Regression Coefficients a
Yanuar Ramadhan 1 Achmad Rifai 2 Dwi Septiani 3 Fahri Hananto Yasin 4 Lenny Widiawati 5 Achmad Rifai 2 Dwi Septiani 3 Fahri Hananto Yasin 4 Lenny Widiawati 5 Achmad Rifai 2 Dwi Septiani 3 Fahri Hananto Yasin 4 Lenny Widiawati 5 population used in this study consists of all manufacturing companies listed on the Indonesia Stock Exchange from 2018 to 2021.The sampling method employed in this research is non-probability sampling, specifically purposive sampling, where samples are pre-determined based on the research's purpose and objectives.Source: Data Proceed by SPSS 25 (2022) partial testing (t-test) indicate that the tvalue for the Liquidity variable is -0.702, while the critical t-value is 1.65437.Since the calculated t-value (-0.702) is less than the critical t-value (1.65437), the Liquidity variable (X1) does not have a significant impact on stock returns.The negative Liquidity coefficient suggests that current assets are smaller than current liabilities.A decrease in enterprise liquidity will result in a decrease in stock returns.When stock returns decline, they become less attractive to investors, and vice versa.

Wilcoxon Signed Rank Test Test Statistics a
a.

Difference Test of Debt to Equity Ratio Variable Before and During Covid-19 Pandemic
c.d.

Difference Test of Earnings Per Share Variable Before and During Covid-19 Pandemic
Based on the data presented in the table, it can be concluded that there is no significant difference in Earnings per Share before and during the Covid-19 pandemic in Indonesia.This is indicated by the significance value of Yanuar Ramadhan 1 Achmad Rifai 2 Dwi Septiani 3 Fahri Hananto Yasin 4 Lenny Widiawati 5 Stefany Caroline 6 | 686 0.468, which is greater than the commonly used significance level (0.05). e.

Difference Test of Price Earnings Ratio Variable Before and During Covid-19 Pandemic
Based on the data presented in the table, it can be concluded that there is no significant difference in Price f.