Electronic Theses and Dissertation

ABSTRAK
Penelitian ini bertujuan menguji pengaruh financial constraint, ukuran perusahaan,
dan likuiditas terhadap return saham pada perusahaan sektor properti dan real estate
yang terdaftar di Bursa Efek Indonesia (BEI) periode 2020–2023. Variabel
financial constraint diukur melalui Interest Coverage Ratio (ICR), ukuran
perusahaan menggunakan logaritma total aset, dan likuiditas menggunakan current
ratio (CR). Sampel diperoleh dengan teknik purposive sampling, terdiri dari 49
perusahaan dengan total observasi sebanyak 196 observasi. Data dianalisis
menggunakan regresi linier berganda setelah memenuhi uji klasik (normalitas,
multikolinearitas, heteroskedastisitas, dan autokorelasi). Hasil menunjukkan bahwa
financial constraint berpengaruh negatif dan signifikan terhadap return saham;
perusahaan dengan ICR rendah cenderung menghasilkan kinerja saham yang lebih
rendah. Sebaliknya, ukuran perusahaan dan likuiditas berpengaruh positif
signifikan terhadap return saham; perusahaan yang lebih besar dan likuid
menunjukkan performa saham yang lebih baik. Koefisien determinasi (R2)
menandakan persentase variansi return saham yang dapat dijelaskan oleh ketiga
variabel independen. Temuan ini memberikan kontribusi teoretis dengan
memperkaya literatur mengenai peran financial constraint dan likuiditas dalam
kinerja pasar modal Indonesia. Secara praktis, hasil penelitian dapat menjadi acuan
bagi investor untuk mengevaluasi potensi saham berdasarkan indikator
fundamental serta membantu manajemen perusahaan dalam merancang strategi
keuangan guna memperkuat daya tarik investasi dan meningkatkan kinerja saham.

Kata Kunci: Financial Constraint (ICR), Ukuran Perusahaan, Likuiditas
(CR), Return Saham, sector Properti & Real Estate, BEI.

ABSTRACT This study investigates the influence of financial constraints, firm size, and liquidity on stock returns in property and real estate companies listed on the Indonesia Stock Exchange (BEI) for the period 2020–2023. The financial constraint is measured by the Interest Coverage Ratio (ICR), firm size is proxied as the natural logarithm of total assets, and liquidity is measured using the current ratio (CR). The sample comprises 49 firms selected via purposive sampling, resulting in a total of 196 pooled observations. Data were analyzed using multiple linear regression after validating the classical assumptions (normality, multicollinearity, heteroskedasticity, and autocorrelation). Results indicate that financial constraints have a significant negative effect on stock returns—firms with lower ICR tend to yield lower returns. Conversely, firm size and liquidity exert significant positive effects on stock returns—larger and more liquid firms tend to exhibit better stock performance. The coefficient of determination (R2) demonstrates the proportion of variance in stock returns explained by the three independent variables.This study contributes theoretically by enriching the literature on the roles of financial constraint and liquidity in capital market performance in Indonesia. Practically, the findings can assist investors in evaluating stock potential based on fundamental indicators and guide corporate financial management in designing strategies to enhance investment attractiveness and improve stock performance. Keywords: Financial constraint (ICR), Firm Size, Liquidity (CR), Stock Return, Property & Real Estate Sector, Indonesia Stock Exchange.