The Effect of Market Risk and Company Size on Stock Returns, Especially on The Pefindo I-Grade Index
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Company Size,
Stock Return
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Abstract
The research approach used in this study is a quantitative method. This research is included in the type of explanatory research, namely the independent variable affects the existence or change of the dependent variable. This research was conducted on companies listed on the Pefindo Investment Grade Index with data collection including financial reports and stock price data. The data were obtained from official sources such as company annual reports, Pefindo publications, and related capital market platforms. The research was conducted in the period October 2024 to December 2024. The population in this study are all companies listed on the Pefindo Investment Grade Index. In this study, sampling was carried out using the non-probability sampling method with purposive sampling technique. Regression analysis was used in this study. The results showed that Market Risk had an effect on Stock Returns, Company Size had an effect on Stock Returns, Market Risk and Company Size together had an effect on Stock Returns.
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