The influence of leverage, tax planning, and company size on stock return with investment risk as a moderating variable

Abstract

This study explores the effect of leverage, tax planning and firm size on stock returns with investment risk as a moderating variable. The research method used is causal quantitative. The population in this study is the consumption industry sector companies indexed on the Indonesia Stock Exchange for the period 2015 to 2019. The sampling technique using the purpose sampling method obtained 100 samples. The data analysis of this study used a partial least squares structural equation modeling (PLS-SEM) approach with Smart PLS 3.3. The results showed that leverage, tax planning and firm size had no significant effect on stock returns. Investment risk is not able to moderate the effect of leverage, tax planning and firm size on stock returns.

Keywords

• leverage
• tax planning
• firm size
• stock return
• investment risk

References

1. ABDULLAH, MOHAMMAD NAYEEM. (2015) ‘The Impact of Financial Leverage and Market Size on Stock Returns on the Dhaka Stock Exchange: Evidence from Selected Stocks in the Manufacturing Sector’, International Journal of Economics, Finance and Management Sciences, 3(1), p. 10. doi: 10.11648/j.ijefm.20150301.12.
2. ADAWIYAH, N. R. AND SETIYAWATI, H. (2019) ‘The Effect of Current Ratio, Return on Equity, And Firm Size on Stock Return (Study of Manufacturing Sector Food and Beverage in Indonesia Stock Exchange)’, Scholars Bulletin, 05(09), pp. 513–520. doi: 10.36348/sb.2019.v05i09.004.
3. ADIWIBOWO, A. S. (2018) ‘Pengaruh Manajemen Laba, Ukuran Perusahaan Dan Leverage Terhadap Return Saham Dengan Kebijakan Dividen Sebagai Variabel Moderasi’, Jurnal Ilmiah Akuntansi Universitas Pamulang, 6(2), p. 203. doi: 10.32493/jiaup.v6i2.1955.
4. AGUSTIN, M., DZULKIROM AR, M. AND DARMAWAN, A. (2019) ‘Analysis Of The Effect Of Firm Size, Financial Leverage, Profitability, Diversification On Market Risk And Stock Return (Case Study Of Manufacturing Companies In The Consumer Goods Industry Sector Listed On The Indonesia Stock Exchange In 2007-2016)’, The International Journal of Accounting and Business Society, 27(3), pp. 28–55. doi: 10.21776/ub.ijabs.2019.27.3.3.
5. AHARON, D. Y. AND YAGIL, Y. (2019) ‘The impact of financial leverage on the variance of stock returns’, International Journal of Financial Studies,7(1). doi: 10.3390/ijfs7010014.
6. ALIJOYO, A. (2021) PT Asuransi Jiwasraya – Kegagalan Pengelolaan Risiko Investasi, irmapa.org. Available at: https://irmapa.org/pt-asuransi-jiwasraya-kegagalan-pengelolaan-risiko-investasi/ (Accessed: 25 December 2020).
7. ARONMWAN, E. J. AND OKAFOR, C. (2019) ‘Corporate Tax Avoidance: Review Of Measures And Prospects’, International Journal of Accounting & Finance (IJAF), 8, No. 2(September), pp. 33–35.
8. BRIGHAM, E. AND EHRHARDT, M. (2017) ‘Financial Management - Theory and Practice, 15e’, Cengage Learning, p. 1221.

9. BUDIHARJO, R. (2018) ‘Pengaruh Profitabilitas Dan Leverage Keuangan Terhadap Return Saham Pada Perusahaan Industri Konsumsi Makanan Dan Minuman Yang Terdaftar Di Bursa Efek Indonesia’, Profita: Komunikasi Ilmiah Akuntansi dan Perpajakan, 11(3), pp. 464–485. Available at: https://www.mendeley.com/catalogue/70a9705b-14ec-3659-9692-0599b955da26.
10. DUY, N. T. AND HUU PHUOC, N. P. (2016) ‘The Relationship between Firm Sizes and Stock Returns of Service Sector in Ho Chi Minh City Stock Exchange’, Review of European Studies, 8(4), p. 210. doi: 10.5539/res.v8n4p210.
11. FAHMI, I. (2014) Analisis Laporan Keuangan. Bandung: Alfabeta.
12. FIRMANSYAH DAN MULIANA (2018) ‘The effect of high-quality information technology on corporate tax avoidance and tax risk’, Journal of Information Systems, 31(2), pp. 83–106. doi: 10.2308/isys-51482.
13. GHOZALI, I. AND LATAN, H. (2014) Partial Least Squares. Konsep, Metode dan Aplikasi Menggunakan Program WarpPLS 4.0. Semarang: Badan Penerbit Universitas Diponegoro.
14. GUNARATHNA, V. (2016) ‘How does Financial Leverage Affect Financial Risk? An Empirical Study in Sri Lanka ’, 1(1), pp. 57–66.
15. HAIR, J. F. (2019) Multivariate Data Analysis. Fifth Edit. New Jersey: Prentice Hall, Inc.
16. HORNE, J. C. VAN AND WACHOWICZ, J. M. (2012) Financial Management. 13th edn. London: Prentice Hall.
17. HUSSAN, M. J. (2016) ‘Impact of Leverage on Risk of the Companies’, Journal of Civil & Legal Sciences, 05(04), pp. 4–6. doi: 10.4172/2169-0170.1000200.
18. IAI, D. (2020) Draf Eksposur Amandemen DE PSAK 74 Kontrak Asuransi. Jakarta: Ikatan Akuntan Indonesia.
19. IGBINOVIA, I. M. AND EKWUEME, C. M. (2018) ‘Corporate Tax Avoidance and Shareholders Returns : Moderating Effects of Monitoring’, Sriwijaya International Journal of Dynamic Economics and Business, 2(3), pp. 255–268.
20. JANUARDI, N. V AND AFRIANTO, E. D. (2017) ‘Pengaruh Likuiditas , Leverage , Efisiensi Operasi, Perusahaan Terhadap Risiko Sistematis Dan Non-Sistematis’, Diponegoro Journal of Management, 6(3), pp. 1–14.
21. JERICO, M. I. AND UTAMI, W. (2021) ‘The Effect of Profitability, Capital Structure, and Forward-Looking Information on Investment Risk’, Journal of Life Economics, 8(2), pp. 147–156. doi: 10.15637/jlecon.8.2.01.
22. JOGIYANTO, H. (2016) Teori Portofolio dan Analisis Investasi. Edisi 10. Yogyakarta: BPFE.
23. KEOWN, A. J. et al. (2018) Manajemen Keuangan. (10th Ed J. Jakarta: Indeks.
24. KEVIN, A. (2019) Fenomena ‘November Rain’ di Bursa, Tepatkah Beli Saham?, cnbcindonesia.com. Available at: https://www.cnbcindonesia.com/market/20191103232700-17-112305/fenomena-november-rain-di-bursa-tepatkah-beli-saham (Accessed: 5 December 2020).
25. KOMARIAH, S., JULENAH AND QHUDOR, M. (2011) ‘Return Saham, Inflasi, Dan Struktur Kepemilikan Terhadap Risiko Investasi’, Jurnal Keuangan dan Perbankan, 15(3), pp. 376–391.
26. LAEVEN, L., RATNOVSKI, L. AND TONG, H. (2016) ‘Bank size, capital, and systemic risk: Some international evidence’, Journal of Banking and Finance. Elsevier B.V., 69(June), pp. S25–S34. doi: 10.1016/j.jbankfin.2015.06.022.
27. LAHAM, A. A. M. (2013) ‘The Effect of Financial Leverage & Systematic Risk on Stock Returns in the Amman Stock Exchange ( Analytical Study – Industrial Sector )’, 4(6), pp. 136–145.
28. MURADOĞLU, Y. G. AND SIVAPRASAD, S. (2014) ‘The impact of leverage on stock returns in the hospitality sector: Evidence from the UK’, Tourism Analysis, 19(2), pp. 161–171. doi: 10.3727/108354214X13963557455603.
29. OGNEVA, S. H. M. (2015) ‘Industry Tax Planning and Stock Returns Shane’, Journal of International Accounting Research, 90(4), pp. 1395–1435.
30. PAIS, A. AND STORK, P. A. (2013) ‘Bank size and systemic risk’, European Financial Management, 19(3), pp. 429–451. doi: 10.1111/j.1468-036X.2010.00603.x.
31. POHAN, C. A. (2015) Manajemen Perpajakan. Edisi Revi. Jakarta: PT Gramedia Pustaka Utama.
32. PRAMUDYA, W. H. (2016) ‘Pengaruh Tax Planning Terhadap Return Saham Yang Dimoderasi Oleh Konservatisma Akuntansi Dengan Variabel Kontrol Ukuran’, 19(1).
33. RIST, M., PIZZICA AND J, A. (2015) Financial Ratios for Executives: How to Assess Company. USA: Wiley.
34. SCOTT, W. R. (2015) Financial Accounting Theory. 6th Ed. New Jersey: Prentice Hall.
35. SRI AYEM AND NURASJATI, P. (2020) ‘Pengaruh Tingkat Inflasi, Profitabilitas, Leverage, Dan Perencanaan Pajak Terhadap Return Saham (Studi Pada Perusahaan Real Estate dan Property yang Terdaftar di Bursa Efek Indonesia periode 2014-2017)’, Akmenika, Jurnal Akuntansi dan Manajemen, 17(117), pp. 383–393.
36. SUCIATI, N. H. D. (2018) ‘The Effect of Financial Ratio and Firm Size on Stock Return in Property and Real Estate Companies Listed on the Indonesia Stock Exchange’, The Indonesian Accounting Review, 8(1), p. 96. doi: 10.14414/tiar.v8i1.1633.
37. SUGIYONO, P. D. (2014) Statistika untuk Penelitian. Bandung: CV Alfabeta.
38. SURJANDARI, D. A., NURLAELAWATI, L. AND SOMA, A. M. (2020) ‘Asset , Capital Structure , Liquidity , Firm Size ’ S Impact On Stock Return’, International Journal of Commerce and Finance, 6(2), pp. 81–91.
39. WIDOWATI, H. (2018) Terendah dalam 10 Tahun, Return Indeks Sektor Konsumer Anjlok, Katadata.co.id. Available at: https://katadata.co.id/hariwidowati/finansial/5e9a55b9d80be/terendah-dalam-10-tahun-return-indeks-sektor-konsumer-anjlok-14 (Accessed: 25 September 2019).