The Effect Earning Per Share (EPS), Return on Equity (ROE ...

Hasanuddin Journal of Applied Business and Entrepreneurship (HJABE) Vol. 5 No. 1, 2022 e-issn: 2598-0890 p-issn: 2598-0882

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The Effect Earning Per Share (EPS), Return on Equity (ROE), and Debt to Equity Ratio (DER) Toward Stock Return with dividend policy as

Intervening Variable (Case study on Transportation and Logistics Sector Companies Listed in

The Indonesia Stock Exchange)

Trisnawati Nur Hikmah1, Cepi Pahlevi2, Kasman Damang3

1Magister Management, Faculty of Economics and Business, Hsanuddin University ; [email protected]

2Faculty of Economics and Business, Hasanuddin University; [email protected] 3Faculty of Economics and Business, Hasanuddin University; [email protected]

Abstract Earning per share (EPS) shows the profit that is entitled to each shareholder of one share of common stock. Debt to equity ratio shows the company's ability to pay debts with its equity. The higher return on equity (ROE) shows the company's performance is getting better and has an impact on the company's stock price. ROE is not a true measure of shareholder return because it does not take into account dividends and capital gains for shareholders. Return is the result obtained from the investment or the level of profit enjoyed by the investor on an investment he does. An investor who invests funds in securities cannot only look at the trend of stock prices. Dividend Payout Ratio (DPR) is the percentage of profits distributed in the form of cash dividends. The purpose of this study was to determine the effect of Earning per Share (EPS), Return on Equity (ROE), Debt to Equity Ratio (DER) on Stock Return with Dividend Policy as an Intervening Variable. The population of this study is the transportation and logistics sector companies listed on the Indonesia Stock Exchange in 2016-2020. The samples taken were 34 samples. The sampling technique used was the purposive sampling technique. The analytical method used multiple linear regression analysis with SPSS software version 21 which is supported by the classical assumption test. This research used is the Sobel test. The results show earnings per share (EPS) have a significant positive effect on dividend policy, return on equity (ROE) and debt to equity ratio (DER) have a significant negative effect on dividend policy, dividend policy (DPR) have a significant negative effect on stock returns, earnings per share (EPS) have an insignificant negative effect on stock returns, return on equity (ROE) and debt to equity ratio (DER) has an insignificant positive effect on stock returns, the dividend payout ratio (DPR) cannot mediate the effect of earnings per share (EPS) on stock returns, the dividend payout ratio (DPR) mediate the effect of return on equity and debt to equity ratio (DER) on stock returns. Keywords: earning per share; return on equity; debt to equity ratio; dividend payout ratio; stock returns INTRODUCTION

The capital market is an investment facility, namely the activity of distributing funds from investors or investors to companies efficiently and has the function of allocating funds optimally. The global economic crisis in the era of the COVID-19 pandemic which increased transportation costs predicted to make it difficult for the logistics industry in Indonesia to actuate their business amid market demand for lower service rates. Investors in determining a company that is worthy of being an investment choice. It is necessary to analyze the company where the


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results obtained can provide an overview of the company's value, internal characteristics, company quality, and management performance as well as company prospects in the future. Financial ratios which are one of the criteria for prospective investors to buy shares of a company are Earning Per Share (EPS), Return on equity (ROE), and Debt to equity ratio (DER). Investors in determining a company that is worthy of being an investment preference, it is necessary to analyze the company where the results obtained provide an overview of the company's value, internal characteristics, company quality, and management performance as well as company prospects in the future. Financial ratios which are one of the criteria for prospective investors to buy shares of a company are Earning Per Share (EPS), Return on equity (ROE), and Debt to equity ratio (DER). Some of the research related to the factors that influence stock returns, among others, research by Sudirman (2018) found EPS and PER have a significant effect on stock returns, while DER has a significant negative effect on stock returns. Meanwhile, the results of Arum & Sri's (2020) research found EPS and ROE had an insignificant negative effect on stock returns, while DER had an insignificant positive effect on stock returns.

This research aims to determine the significance of EPS, ROE, and DER have a significant positive effect on DPR, and EPS, ROE, DER, and DPR have a positive and significant effect on stock returns, and EPS, ROE, and DER have a positive and insignificant effect on returns stock with a dividend policy as an intervening variable in the Transportation and Logistics sector companies listed on the Indonesia Stock Exchange (IDX) during the 2016-2020 period. LITERATURE REVIEW Stock returns

Tandelilin (2010) defines shares as evidence of ownership of the assets of the company that issues shares. By owning shares of a company, investors will have the right to the company's income and wealth, after deducting the payment of all company obligations. According to Agus Sartono (2001), stock prices are prices that occur on the stock exchange which are determined by market participants in determining the amount of supply and demand for a stock.

Legiman (2015) argues stock returns are the results obtained from investments. Expectations to obtain returns also occur in financial assets. A financial asset shows the willingness of investors to provide several funds at this time to obtain a flow of funds in the future as compensation for the time factor during which the funds are invested and the risk borne.

The investment return consists of two main components according to Jogiyanto (2017), as below: 1. Yield, the return component that reflects the cash flow or income obtained periodically from

an investment. 2. Capital gain (loss, return component which is an increase (decrease) in the price of a gain

(loss) for investors.

Earning Per Share Earnings per share (EPS) shows the company's ability to earn profits and distribute the

profits earned by the company to shareholders. Earnings per share (EPS) can be used as an indicator of the company's value level. Meanwhile, according to Van Horne and Wachowicz (2014) earnings per share is "Earning after taxes (EAT) divided by the number of common share outstanding" meaning that profit after tax is divided by the number of ordinary shares outstanding. Meanwhile, Tandelilin (2001) defines Earning Per Share (EPS) as a comparison


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between the amount of profit (in this case net income that is ready to be distributed to shareholders) with the number of shares outstanding.

The factors that can affect Earnings per share are as follows: 1. Debt users

In determining the source of funds to run the company, management has to consider the possibility of the company in the capital structure that is able to maximize the company's share price.

Therefore, interest is mostly fixed, and if the interest is less than the return on debt financing, the excess over the return will be to the equity investor. In addition, because interest is a burden that can reduce taxes borne by the company, it will be smaller as a result of the use of debt in the company's capital structure so that in the end there is an increase in earnings per share (EPS).

2. Factors causing the increase in Earning per share (EPS) a. Net income increased and the number of common stock outstanding remained constant. b. Fixed net income and the number of common stock outstanding decreased. c. Net income increased and the number of common stock outstanding decreased. d. The percentage increase in net income is greater than the percentage increase in the

number of common stock outstanding. e. The percentage decrease in the number of ordinary shares outstanding is greater than

the percentage decrease in net income. So for a company, the value of earnings per share will increase if the percentage

increase in net income is greater than the percentage increase in the number of common stock outstanding, and vice versa.

3. Factors causing a decrease in earnings per share (EPS) a. Fixed net income and the number of common stock outstanding increased. b. Net income fell and the number of common stock outstanding remained constant. c. Net income fell and the number of shares of common stock outstanding increased. d. The percentage decrease in net income is greater than the percentage decrease in the

number of common stock outstanding. e. The percentage increase in the number of common stock outstanding is greater than the

percentage increase in net income. Return On Equity (ROE)

Return On Equity (ROE) is a ratio to measure net income after tax with equity (Kasmir, 2016). This ratio shows the efficiency of the use of own capital. The higher the ROE, the better. That means that the position of the owner of the company is getting stronger. On the other hand, if ROE is low, it will get worse. That means that the position of the owner of the company is getting weaker.

Definition of ROE according to Wachowicz and Van Horne (2014), ROE is comparing net income after tax (less common stock dividends) with the equity that has been invested by stockholders in the company. This ratio shows the power to generate a return on investment based on the book value of stockholders and is often used in comparing two or more companies in the same industry.

Debt to Equity Ratio (DER)

One aspect considered reasonable to measure the company's performance is the aspect of leverage or company debt. Debt is an important component of the company, especially as a means of funding. The decline in performance often occurs because the company has a huge debt and difficulties in meeting obligations. Debt to equity ratio is a ratio to measures the extent


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to which the amount of debt can be covered by own capital. (Darmadji and Fakhruddin, 2006). This ratio shows the composition or capital structure of the total debt to the total capital owned by the company. The higher the debt to equity ratio indicates the composition of total debt (short-term and long-term) is greater than the total equity so that it has an impact on the company's burden on outside parties (creditors) (Ang, 1997).

According to Brigham (2006) companies with low debt to equity will have a small risk of loss when economic conditions decline, but when economic conditions improve, the opportunity to earn profits is also low. On the other hand, companies with high leverage ratios do bear the risk of large losses when the economy is in decline, but in good conditions, these companies have the opportunity to earn large profits.

Increasingly large DER ratio, the more unbeneficial because the greater the risk borne for failures that may occur in the company (Kasmir, 2016). This will affect the assessment of investors so that the stock price will decrease. The greater DER, the lower the company's stock price because if the company earns a profit, the company tends to use the profit to pay its debts compared to distributing dividends to investors so that investors are increasingly not interested in investing in companies that have a high DER.

Debt to equity ratio serves to measure how far the company finances its operations with debt compared to own capital (equity). According to Gill and Chatton (2006:44) in Risarani (2015) the factors that affect DER are as below:

a. Increase or decrease in debt b. Increase or decrease in own capital c. Fixed debt or equity d. Debt increases higher than own capital, or vice versa In other words, the lower the debt and the higher the equity, the lower the Debt to Equity

Ratio, so that the burden of paying loan interest can be reduced.

Dividend Policy According to Sitanggang (2013), dividend policy is defined as follows "Determining

the amount of net profit to be distributed to stockholders or the amount of retained earnings in the company is a dividend policy decision and cannot be separated from internal financing decisions".

Dividends are one of the important decisions to maximize the value of the company in addition to investment decisions and capital structure (decisions on meeting funds). Management has 2 alternative treatments for the company's net income after tax (Earning After Tax), namely: 1. Distributed to the stockholders of the company in the form of dividends. 2. Reinvested in the company as retained earnings.

Usually, part of EAT (Earning After Tax) is divided in the form of dividends and part is reinvested, therefore management has to make a policy (dividend policy) regarding the amount of EAT to be distributed as dividends.

According to Brigham (2011), dividend policy is defined as follows: "dividend policy is a decision about whether to divide profits or hold them to be reinvested in the company".

Effect of Earning Per Share (EPS) on Dividend Policy

EPS is a ratio that shows how much profit (return) is obtained by investors or stockholders per share. The higher the EPS value, of course, makes stakeholders feel good because the greater the profit provided to stockholders (Darmadji and Fakhruddin, 2001). Kurnianto (2013) in his research, Earning Per Share describes the company's profitability which is reflected in each share. The higher the Earning Per Share (EPS) value, the greater the


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profit and the possibility of increasing the number of dividends received by shareholders. Based on this, the hypothesis is formulated as follows: H1 : Earning Per Share (EPS) has a positive and significant effect on dividend policy (DPR)

Effect of Return on Equtiy (ROE) on Dividend Policy

Smoothing theory (Lintner, 1956) that the size of the dividend depends on the company's current profits and previous dividends. Based on this theory, the higher the profit, the higher the portion of profits that will be divided as dividends. This theory is in accordance with the results of research by Yudhanto & Aisyah (2012) which states that ROE has a significant positive effect on the DPR. Based on this, the hypothesis is formulated as follows: H2 : Return on Equity (ROE) has a positive and significant effect on dividend policy (DPR)

Effect Debt to Equity Ratio (DER) on Dividend Policy. The company certainly expects to pay its obligations in every operation of the company.

Debt to Equity Ratio (DER) is measuring the company's ability to meet all debts. The greater the Debt to Equity Ratio (DER) indicates the higher the liabilities and the lower the Debt to Equity Ratio (DER) will indicate the higher the company is in meeting its debts. The greater the debt of a company will affect the level of income available to stakeholders, which is the higher the company's liabilities will reduce the level of ability to pay dividends. H3 : Debt to Equity Ratio (DER) has a positive and significant effect on dividend policy (DPR)

Effect Dividens Policy on Stock Return The dividend payout ratio (DPR) is a management commitment to share its performance

with shareholders (Ang, 1997). Dividend payout ratio (DPR) is generated from the comparison between dividend per share (DPS) and earnings per share. The perspective seen is the growth of earnings per share. The larger the dividends distributed, the greater the dividend payout ratio (DPR). Facts so far, generally companies that go public on the Indonesia Stock Exchange, the average dividend payout ratio every year ranges from 0%-5% (Hadi, 2015). Based on this, the hypothesis is formulated as below: H4 : Dividend policy has a positive and significant effect on Stock Return

Effect Earning Per Share (EPS) on Stock Return In simple terms, EPS describes the amount of money earned for each share. Based on

the success rate of the company, investors will pay attention to its impact in the future by looking at the company's good prospects. The growth of the company's earnings per share will be highly considered by investors in making investment decisions. If the stock price reflects the capitalization of the expected profit in the future, then the increase in profit will increase the stock price and total market capitalization (Putri & Sampurno, 2012).

Earnings per share (EPS) is net income that is ready to be distributed to stockholders compared to the number of company shares outstanding in the market, Tandelilin (2010). From the explanation above, it can be concluded that EPS is a ratio that measures how much income is earned from each share of common stock outstanding. Based on this, the hypothesis is formulated as below: H5 : Earning per share has a positive and significant effect on Stock Return

Effect Return on Equity (ROE) on Stock Return Return On Equity (ROE) is used to measure the level of effectiveness of the company

in generating profits by utilizing the capital owned by the company. This ratio shows the company's ability to generate net income by using its capital. This theory supported by research


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conducted by Affinanda & Yuyetta (2015) showing that there is a positive and significant influence between Return on Equity (ROE) on stock returns. Another researcher conducted by Erwin (2013) shows ROE has a positive and significant effect on stock returns. In a study conducted by Mendari & Beny (2011) ROE has a positive and significant effect on stock returns. Based on this, the hypothesis is formulated as below: H6 : Return on Equity has a positive and significant effect on Stock Return

Effect Debt to Equity Ratio (DER) on Stock Return Debt to equity ratio (DER) shows how the company's ability to meet its obligations in

paying its debts with its own capital guarantee Kasmir (2008). According to Kole and Lehn (1991), if the investment is expected to generate a return that is greater than the cost of the dept, it will be able to generate profits.

The results of this study are supported by previous research, namely Arum Novita Sari and Sri Hermuningsih (2020) and Novita (2019) in their research, which concludes that the debt to equity ratio has a positive and insignificant effect on stock returns. Based on this, the hypothesis is formulated as follows: H7 : Debt to Equity Ratio has a positive and insignificant effect on Stock Return

Effect of Dividend Payout Ratio (DPR) Mediates Earning Per Share (EPS) on Stock Returns

Based on the amount of Earning Per Share (EPS) of course really depends on the size of the profit or profit that the company has successfully obtained from its operating activities. The high Earning Per Share value is one indicator of the company's success which causes the company's value to increase, which means the company's share price is high. if the increase in stock prices, stock returns will also increase, if there is no change in the number of outstanding shares.

In the results of Anismawati's research (2019), the EPS value on Stock Return through Dividend Policy (DPR) is 0.2453 (0.762 x 0.322) = 0.2453 while the direct effect of EPS on Stock Return is 0.262 greater than the indirect effect, so from this calculation it can be stated that DPR is not an intervening variable. The direct effect of EPS on Stock Return has a positive and insignificant effect, after going through the mediation channel there is still no relationship between EPS and Stock Return. Based on this, the hypothesis is formulated as below: H8 : Earning Per Share (EPS) has a positive and insignificant effect on Stock Return with Dividend Policy as an intervening variable.

Effect of Dividend Payout Ratio (DPR) Mediates Return on Equity (ROE) on Stock Return

Companies with high Return on Equity (ROE), mean that they have sufficient profits to pay dividends to their stockholders. Dividend policy provides information about the company's profit growth in the future, this information will invite a response from investors which will affect the company's return. Based on the results of research by Arum Narwita and Sari & Hermuningsih (2020) that the effect of EPS, ROE, DER through dividend policy (DPR) is not significant, so it can be concluded that dividend policy (DPR) is not proven to mediate EPS, ROE, and DER on stock returns. Based on this, the hypothesis is formulated as below: H9 : Return on Equity (ROE) has a positive and insignificant effect on Stock Return with Dividend Policy as an intervening variable

Effect of Dividend Payout Ratio (DPR) Mediates Debt to Equity Ratio (DER) on Stock Return


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A company with a low DER means it has a low level of debt as well, a low level of debt is considered to be able to increase the company's income, if the company's income increases, the dividends distributed will also increase. An increase or decrease in debt in turn will affect the size of the net profit available to shareholders, including dividends received because the obligation to pay debts takes precedence over dividend distribution. Thus, the lower the debt ratio, the higher the profitability ratio of a company. With the increasing profitability, the company will increase its ability to pay dividends.

The indirect effect of DER on Stock Return is greater than the direct effect of DER on Stock Return so that it can be stated that DPR is the intervening variable between DER and Stock Return. The direct effect of DER on Stock Return has a positive and insignificant effect, after going through the mediation channel, namely the DPR, there is a positive and significant effect on DER with Stock Return. (Anismawati, 2019). Based on this, the hypothesis is formulated as below: H10 : Debt to Equity Ratio (DER) has a positive and significant effect on Stock Return with Dividend Policy as an intervening variable

Conceptual Model

Figure 1: Research Framework

RESEARCH METHOD Location and Research Design

This research was conducted on transportation and logistics sector companies on the Indonesian Stock Exchanges (IDX) as information on companies going public in Indonesia and using the official website of the company concerned which is accessed by the internet and links that are considered relevant and in the Stiem Bongaya investment gallery. The period of observation carried out in this study was a period of 5 years, namely 2016-2020. The variables in this study are Earning Per Share (EPS), Return on Equity (ROE), and Debt to Equity Ratio

Earning Per Share (EPS)

(X1)

Return on Equity (ROE)

(X2)

Dividen Policy (DPR) (Y1)

Stock Return

(Y2)

H1

H2

H

H

Debt to Equity Ratio (DER)

(X3)

H

H H

H8

H9

H10


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(DER) as the independent variable (X), Stock Return as the dependent variable (Y2), and Dividend Policy (DPR) as the variable intervening. Population or Samples

The population in this research are transportation and logistics sector companies that have gone public and registered on IDX with a 5-year observation period, from 2016 to 2020 with a total of 27 companies. While the number of samples in this study through the purposive sampling method is as many as 34 samples.

Data Collection Method Researchers used direct data collection techniques and library research by collecting

information from this research sourced from literature/journals, books, written reports, and other reference materials which became the theoretical basis for the research.

The type of data used is quantitative data. The data source used is secondary data taken in the 2016 – 2020 financial statements. Data Analysis Method

The analytical technique used is multiple linear analysis with the help of the SPSS (Statistical Program and Service Solution) program. The data analysis technique used to analyze the data that has been collected in this study is the classical assumption test, namely: Normality Test, Multicollinearity Test, Heteroscedasticity Test, and Autocorrelation Test.

To find out the percentage of 𝑌𝑌1𝑎𝑎𝑎𝑎𝑎𝑎 𝑌𝑌2values that can be explained by the regression line using the Coefficient of Determination. And the t-test to determine the effect of the independent variable on the dependent variable partially.

Regression analysis was carried out in 2 stages, namely: Stage 1: 𝑌𝑌1 = 𝛼𝛼 + 𝛽𝛽1𝑋𝑋1 + 𝛽𝛽2𝑋𝑋2 + 𝛽𝛽3𝑋𝑋3 + 𝑒𝑒 Stage 2: 𝑌𝑌2 = 𝛼𝛼 + 𝛽𝛽1𝑋𝑋1 + 𝛽𝛽2𝑋𝑋2 + 𝛽𝛽3𝑋𝑋3 + 𝛽𝛽4𝑌𝑌1 + 𝑒𝑒

Y1 and Y2 denotes dependent variable and ei is the random error component, and 0 is a constant parameter, the parameter of β1, β2, β3, β4 are the regression coefficient associated with X1, X2, X3, X4 respectively. EMPIRICAL RESULTS Descriptive Statistics

Descriptive statistics are analyzes that provide an overview of the average value (mean) of each variable to be observed, the standard deviation, the highest value (maximum), and the lowest value (minimum). Based on the SPSS attachment, it can be presented through a table, namely:

Table-1: Descriptive Statistics N Minimum Maximum Mean Std. Deviation EPS 34 ,986 6,914 3,10755 1,363293 ROE 34 -,105 3,611 1,93350 ,887094 DER 34 -2,526 1,645 -,34053 1,140802 DPR 34 ,000 101,380 17,66529 25,899765 Stock Return 34 -,930 1,910 ,35471 ,594241 Valid N (listwise)

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Source: Data Are Processed Table 1, which is descriptive statistics of each variable to be observed which shows

that the average earnings per share (EPS) of the 34 samples observed shows that the average


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EPS is 3.1% with a standard deviation of 1.3% while the lowest EPS was 0.9% and the highest was 6.9%

Then the descriptive statistics for return on equity (ROE) denotes that the average ROE of the 34 samples observed is 1.9 times with a standard deviation of 0.8 times. While the lowest ROE with 34 samples to be observed is -0.1 times and the highest is 3.6 times. Furthermore, the debt to equity ratio (DER) shows that the average DER ratio with 34 research samples is -0.3% with a standard deviation of 1.1% and the lowest ratio of 34 research samples is -2.5% and the highest is 1.6%.

Furthermore, the dividend pay ratio (DPR) shows that the average value (mean) of the 34 samples is 17.6% with a standard deviation of 25.8%, where the lowest value of DPR is 0% and the highest is 101.3. %. While the average value of stock returns is 0.3% with a standard deviation of 0.5%, where the lowest stock return is -0.9% and the highest is 1.9%.

Prerequisite Evaluations Normality test

In this researches, the test was carried out using the normality test. The results of the normality test for the Y1 function equation have a significant value of 0.12 > 0.05, which means that the EPS, ROE, DER, DPR, and Stock Return data on Transportation and Logistics companies on the Indonesia Stock Exchange are normally distributed. And then the results of the normality test in equation Y2 obtained a significance value of 0.53 > 0.05, which means the assumption of normality is normally distributed.

Multicollinearity Test

Table 1. Statistical Multicollinearity Test Results Equation Y1

Variable Collinearity Statistics Conclusion Tolerance VIF EPS 0,85 1,16 There is no multicollinearity ROE 0,77 1,29 There is no multicollinearity DER 0,87 1,14 There is no multicollinearity

Source: Data Are Processed The results of the multicollinearity test denote that the tolerance value of the independent

variables, namely EPS, ROE, and DER, has a tolerance value greater than 0.10 and a VIF value less than 10. These results indicate that there is no multicollinearity and deserves to be a predictor. in the regression model in equation Y1.

Table 2. Statistical Multicollinearity Test Results Equation Y2

Variable Collinearity Statistics Conclusion Tolerance VIF EPS 0,69 1,43 There is no multicollinearity ROE 0,60 1,64 There is no multicollinearity DER 0,58 1,70 There is no multicollinearity DPR 0,60 1,64 There is no multicollinearity

Source: Data Are Processed In table 2, the results of the multicollinearity test denote that the tolerance value of the

independent (independent) variables, namely EPS, ROE, DER, and DPR has a value greater than 0.10 and a VIF value less than 10. The results of the regression model test show that there is no multicollinearity in the regression model in equation Y2.


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Heteroscedasticity test Table 3. Heteroscedasticity Test Results Equation Y1

Variable Sign. Conclusion

EPS 0,69 There is no heteroscedasticity

ROE 0,11 There is no heteroscedasticity

DER 0,07 There is no heteroscedasticity

Source: Data Are Processed Table 3 shows the results of the heteroscedasticity test using the Glejser test that the three

independent variables, namely EPS, ROE, and DER have significantly greater than 0.05, so it can be concluded that the data has no heteroscedasticity problem in the regression model of equation Y1. The results of the heteroscedasticity test in the Y2 equation can be seen in the following table:

Table 4. Heteroscedasticity Test Results Equation Y2 Variabel Sign. Keterangan

EPS 0,53 There is no heteroscedasticity

ROE 0,41 There is no heteroscedasticity

DER 0,22 There is no heteroscedasticity

DPR 0,87 There is no heteroscedasticity

Source: Data Are Processed Table 4 shows the results of the heteroscedasticity test using the glejser test that the four

variables, namely EPS, ROE, DER, and DPR have a significance greater than 0.05, so it can be concluded that the data does not occur heteroscedasticity in the regression model equation Y2.

Autocorrelation Test The results of the autocorrelation test obtained from the processed SPSS version 21 data

can be seen in the following table: Table 5. Autocorrelation Test Results on Y1 Equation

R R Square Adjusted R Square

Durbin-Watson dL Value dU Value

0,627 0,393 0,333 1,686 1,2707 1,6519 Source: Data Are Processed

Table 5 shows the Durbin-Watson value of 1.686. From the statistical table, it is known that the value of dL = 1.2707 and the value of dU = 1.6519. A regression model does not have autocorrelation if dU < D-W < 4-dU. Because dU (1.651) < D-W (1.686) < 4-dU (2.348).

Table 6. Autocorrelation Test Results on Y2 Equation

R R Square Adjusted R Square

Durbin-Watson dL Value dU Value

0,554 0,306 0,211 2,067 1,2078 1,7277 Source: Data Are Processed


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Table 6 shows the Durbin-Watson value of 2,067. From the statistical table, it is known that the value of dL = 1.2078 and the value of dU = 1.7277. A regression model has no autocorrelation if dU < D-W < 4-dU. Because dU (1.727) < D-W (2.067) < 4 –dU (2.272). Analisis Regresi Linear Berganda

The effects of earnings per share (EPS), return on equity (ROE), debt to equity (DER) on dividend payout ratio (DPR) using SPSS version 21 program so that it can be presented in the following table:

Tabel 7. Multiple Regression Equation Test Results on Y1 Equation

Model Unstandardized

Coefficients Standardized Coefficients Sig.

B Std. Error Beta 1

(Constant) 15,190 10,683 0,165

EPS 7,692 2,917 0,405 0,013 ROE -13,404 4,727 -0,459 0,008 DER -13,178 3,460 -0,580 0,001

Source: Data Are Processed The multiple linear regression model above can be formed from the variables in table 7

and formulated in the equation model as follows: 𝒀𝒀𝟏𝟏 = 𝜶𝜶 + 𝜷𝜷𝟏𝟏𝑿𝑿𝟏𝟏 + 𝜷𝜷𝟐𝟐𝑿𝑿𝟐𝟐 + 𝜷𝜷𝟑𝟑𝑿𝑿𝟑𝟑 + 𝒆𝒆 𝑌𝑌1 = 15,190 + 0,405𝑋𝑋1 − 0,459𝑋𝑋2 − 0,580𝑋𝑋3 + 𝑒𝑒

Based on the results of the multiple regression equation, each variable interpreted its influence on dividend policy (DPR) as below: a. The constant value with a positive sign of 15.190 indicates that if the variables of earnings

per share, return on equity, and debt to equity ratio do not change or equal 0, it will increase dividend policy (dividend payout ratio) by 15.190.

b. Earning per share (EPS) has a regression coefficient of 0.405. This means that the value of 𝑋𝑋1 (EPS) increases by one unit with the assumption that other variables are constant, it will increase the dividend policy (DPR).

c. Return on equity (ROE) has a negative coefficient of 0.459. This means that the value of 𝑋𝑋2 (ROE) increases by one unit with the assumption that other variables are constant, then the dividend policy (DPR) will decrease by 0.459.

d. Debt to equity ratio (DER) has a negative regression coefficient of 0.580. This means that if the value of 𝑋𝑋3 (DER) increases by one unit with the assumption that other variables are constant, the dividend policy (DPR) will decrease.

To determine the effect of EPS, ROE, DER and DPR on stock returns using the SPSS version 21 program, the results of the regression equation can be seen in the following table:

Tabel 8. Multiple Regression Equation Test Results on Y2 Equation

Model Unstandardized

Coefficients Standardized Coefficients Sig.

B Std. Error Beta 1 (Constant) 0,650 0,275 0,025

EPS -0,108 0,081 -0,247 0,193 ROE 0,111 0,133 0,166 0,410 DER 0,025 0,105 0,049 0,812 DPR -0,009 0,005 -0,411 0,047

Source: Data Are Processed


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On the table 8 multiple linear regression calculations, the regression model used in this study is as follows: 𝒀𝒀𝟐𝟐 = 𝜶𝜶 + 𝜷𝜷𝟏𝟏𝑿𝑿𝟏𝟏 + 𝜷𝜷𝟐𝟐𝑿𝑿𝟐𝟐 + 𝜷𝜷𝟑𝟑𝑿𝑿𝟑𝟑 + 𝜷𝜷𝟒𝟒𝒀𝒀𝟏𝟏 + 𝒆𝒆 𝑌𝑌2 = 0,650 − 0,247𝑋𝑋1 + 0,166𝑋𝑋2 + 0,049𝑋𝑋3 − 0,411𝑌𝑌1 + 𝑒𝑒

From the results of the regression equation above, for more details, the interpretation of the regression equation will be presented, namely: a. The constant (α) of 0.650 states earnings per share, return on equity, debt to equity ratio,

and dividend payout ratio are constant (real), so the stock return is 0.650. b. The regression coefficient for the earning per share (EPS) variable is 0.247. This means

that EPS has a negative effect on stock returns, which is the higher EPS, so lower the stock returns.

c. The regression coefficient for return on equity (ROE) variable is 0.166. This means ROE has a positive effect on stock returns, which is higher the ROE so then stock returns will increase.

d. The regression coefficient for the variable debt to equity ratio (DER) is 0.049. This means DER has a positive effect on stock returns, which is higher the DER, so then stock returns also increase.

e. The regression coefficient for the dividend payout ratio (DPR) variable is -0.411. This means that the DPR has a negative influence on stock returns, if DPR decreases then the stock returns increase.

Coefficient of Determination Test (𝑹𝑹𝟐𝟐)

The following results of testing coefficient of determination Y1 equation can be seen in following table:

Table 9. The Results of Coefficient of Determination Test On Y1 Equation Model R R

Square Adjusted R

Square Std. Error of the Estimate

Durbin-Watson

1 0,627 0,393 0,333 21,156 1,686 Source: Data Are Processed Coefficient of determination to determine percentage of the influence of other variables

besides variables researched on dependent variable, it can be seen from value of R square, which is R square value is 0.393 which means that 39.3% of the effect of EPS, ROE, and DER on DPR, while the remaining 60.7% is influenced by other variables are not included in this research model.

The following are results of testing coefficient of determination on Y2 equation can be seen in the following table:

Table 10. The Results of Coefficient of Determination Test On Y2 Equation Model R R

Square Adjusted R

Square Std. Error of the Estimate

Durbin-Watson

1 0,554 0,306 0,211 0,527 2,067 Source: Data Are Processed Based on table 10, value of the coefficient of determination seen in the R square value is

0.306 or 30.6% the percentage of variable stock return value is influenced by EPS, ROE, DER, and DPR, while remaining 69.4% is influenced by other variables not included in this research model. Hypothesis Test (T Test)

Based on the results of SPSS version 21 data processing, the partial test results on the Y1 equation are presented in the following table:

Table 11. Partial Test Results (t Test) Equation Y1


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Variable Sig Standar value 𝑻𝑻𝑪𝑪𝑪𝑪𝑪𝑪𝑪𝑪𝑪𝑪 𝑻𝑻𝑪𝑪𝒕𝒕𝒕𝒕𝒕𝒕𝒆𝒆 Description

EPS 0,013 0,05 2,637 2,042 Significant/accepted ROE 0,008 0,05 2,835 2,042 Significant/accepted DER 0,001 0,05 3,809 2,042 Significant/accepted

Source: Data Are Processed Based on the partial test results, the explanation is as follow: 1. Partial test of earnings per share (EPS) on dividend payout ratio (DPR)

Based on the results of data processing using SPSS program, EPS obtained a significant value of 0.013 which is smaller than 0.05 and the 𝑻𝑻𝑪𝑪𝑪𝑪𝑪𝑪𝑪𝑪𝑪𝑪 value of 2.637 is greater than 𝑻𝑻𝑪𝑪𝒕𝒕𝒕𝒕𝒕𝒕𝒆𝒆 which is 2.042. It concluded that the EPS has a significant effect on the DPR. 2. Partial test of return on equity (ROE) to dividend payout ratio (DPR)

The result of data processing between ROE is 0.008 smaller than 0.05 and the 𝑻𝑻𝑪𝑪𝑪𝑪𝑪𝑪𝑪𝑪𝑪𝑪value is 2.835 which is greater than 𝑻𝑻𝑪𝑪𝒕𝒕𝒕𝒕𝒕𝒕𝒆𝒆 which is 2.042. It concluded that ROE has a significant effect on DPR. 3. Partial testing of debt to equity ratio (DER) to dividend payout ratio (DPR)

Based on the results of data processing using SPSS between debt to equity ratio (DER), a significant value of 0.001 is obtained, which is smaller than the standard value of significance of 0.05 and 𝑻𝑻𝑪𝑪𝑪𝑪𝑪𝑪𝑪𝑪𝑪𝑪 is 3.809, which is greater than 𝑻𝑻𝑪𝑪𝒕𝒕𝒕𝒕𝒕𝒕𝒆𝒆, which is 2.042. It concluded that DER has a significant effect on DPR.

To determine the effect of earnings per share (EPS), return on equity (ROE), debt to equity ratio (DER) and dividend payout ratio (DPR) on stock returns using the SPSS program, the results of the partial test (t-test) in equation Y2 which can be seen through the following table:

Table 12. Partial Test Results (t Test) Equation Y2

Variabel Sig Standar value 𝑻𝑻𝑪𝑪𝑪𝑪𝑪𝑪𝑪𝑪𝑪𝑪 𝑻𝑻𝑪𝑪𝒕𝒕𝒕𝒕𝒕𝒕𝒆𝒆 Description

EPS 0,19 0,05 1,33 2,04 Not Significant / rejected

ROE 0,41 0,05 0,83 2,04 Not Significant / rejected

DER 0,81 0,05 0,24 2,04 Not Significant / rejected

DPR 0,04 0,05 2,07 2,04 Significant/accepted Sumber: Data diolah SPSS versi 26 From the table of partial test results, an explanation can be given as follows: 1. Partial testing of earnings per share (EPS) on stock returns

Based on the results of data processing using the SPSS version 21 program between EPS and stock returns, a significant value of 0.19 is obtained, which is greater than 0.05 and the 𝑻𝑻𝑪𝑪𝑪𝑪𝑪𝑪𝑪𝑪𝑪𝑪 value is 1.33, which is smaller than the 𝑻𝑻𝑪𝑪𝒕𝒕𝒕𝒕𝒕𝒕𝒆𝒆, which is 2.04. This means that it can be concluded that EPS has no significant effect on stock returns in the Transportation and Logistics sector companies listed on the Indonesia Stock Exchange. 2. Partial test of return on equity (ROE) on stock returns

The results of the processed data in table 19 obtained a significant value of 0.41 which is greater than 0.05 the standard value and the 𝑻𝑻𝑪𝑪𝑪𝑪𝑪𝑪𝑪𝑪𝑪𝑪 value of 0.83 is smaller than the 𝑻𝑻𝑪𝑪𝒕𝒕𝒕𝒕𝒕𝒕𝒆𝒆, which is 2.04. This means that it can be concluded that ROE has no significant effect on stock returns in transportation and logistics sector companies listed on the Indonesia Stock Exchange. 3. Partial testing of debt to equity ratio (DER) on stock returns


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The effect of DER with stock returns obtained a significant value of 0.81 which is greater than 0.05 and the value of 𝑻𝑻𝑪𝑪𝑪𝑪𝑪𝑪𝑪𝑪𝑪𝑪 is 0.24 which is smaller than 𝑻𝑻𝑪𝑪𝒕𝒕𝒕𝒕𝒕𝒕𝒆𝒆, which is 2.04. This means that it can be concluded that DER has no significant effect on stock returns in transportation and logistics sector companies listed on the Indonesia Stock Exchange. 4. Partial test of dividend payout ratio (DPR) on stock returns

The result of data processing using SPSS version 21 DPR has a significant value of 0.04 which is smaller than the standard value of 0.05 and the 𝑻𝑻𝑪𝑪𝑪𝑪𝑪𝑪𝑪𝑪𝑪𝑪 value of 2.07 is greater than 𝑻𝑻𝑪𝑪𝒕𝒕𝒕𝒕𝒕𝒕𝒆𝒆 which is 2.04. This means that it can be concluded that the DPR has a significant effect on stock returns in transportation and logistics sector companies listed on the Indonesia Stock Exchange.

DISCUSSION Effect of Earning Per Share (EPS) on Dividend Policy (DPR)

Based on the results of data analysis that has been carried out, it shows that earnings per share (EPS) has a positive and significant effect on dividend policy (DPR) in transportation and logistics sector companies listed on the Indonesia Stock Exchange for the period 2016 – 2020. Positive and significant effect of EPS on DPR which means that EPS will be directly proportional to DPR. If the EPS is higher, the DPR will be higher, and vice versa. Generally, earnings per share per period will be compared with the value in the same period in the previous year, to describe the growth of the company's profit level, so that the dividend policy (DPR) can be decided. The increase in EPS of a company is reflected in the success of the company's management in managing its finances. So that the distribution of dividends can be done for investors.

The results of this researcher support research conducted by Arum Nurwita and Sri Hermuningsih (2020) and Novita Anismawati (2019) showing that EPS has a positive and significant influence on the DPR. Likewise, research by Stefan and Siti Aisjah (2012) shows that simultaneously and partially the effect of EPS on the DPR has a positive and significant effect. Effect of Return on Equity (ROE) on Dividend Policy (DPR)

Based on the results of the analysis of return on equity (ROE) on Dividend Policy (DPR), denote ROE has a negative and significant effect on dividend policy (DPR). It can be said that when the rate of return on capital (ROE) ratio increases, the dividend payout ratio will decrease. This means that the net income from equity in the research object is not all allocated for dividend payments, but becomes retained earnings.

The results of this research are in line with research conducted by Stefan Yudhanto and Siti Aisjah (2012) showing that ROE partially has a significant effect on the DPR. Dina Nurhikmawaty, Isnurhadi, Marlina Widyanti, Yuliani (2020) in their research results that Return on Equity (ROE) has a significant effect on the Dividend Payout Ratio (DPR) Effect of Debt to Equity Ratio (DER) on Dividend Policy (DPR)

Based on the results of research that have been done which shows that DER has a negative and significant effect on dividend policy (DPR). This means that any increase in the


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value of the debt to equity ratio will generally reduce the company's ability to pay dividends to shareholders.

Debt to equity ratio reflects the proportion of long-term debt with own capital (equity). The larger debt causes the company's burden to be large because of the debt costs that must be borne. The greater the debt will cause the company's priority to pay dividends will be smaller because the company's profits are reduced by the company's debt costs.

The results of this research are in line with Dina, isnurhadi, and Marlina (2020) which state that DER has a significant effect on dividend policy (DPR). And Arum and Sri (2020) show that the dividend policy (DPR) has a positive and significant effect on the DPR. Effect of Dividend Policy (DPR) on Stock Return

Based on the results of SPSS version 21 output analysis, it is known that the dividend payout ratio (DPR) partially has a significant negative effect on stock returns in transportation and logistics sector companies listed on the Indonesia Stock Exchange for the period 2016 - 2020.

The decrease in dividend distribution from time to time can increase stock returns. companies with slow growth will tend to use higher dividends to overcome potential overinvestment.

The results of this research are in accordance with research conducted by Putri Pratiwi (2015) and Tutun Aloka (2010) showing that dividend policy (DPR) has a negative and significant effect on stock returns.

Effect of Earning Per Share (EPS) on Stock Return

The results of the analysis of the effect of earnings per share on stock returns through the dividend payout ratio, which is the direct effect of EPS on stock returns have no significant negative effect. Meanwhile, through mediation, there is no relationship between EPS and stock returns.

Empirical findings in this research denote that dividend policy (DPR) cannot mediate the effect of EPS on stock returns in transportation and logistics sector companies listed on the Indonesia Stock Exchange for the 2016-2020 period. This is in line with Anismawati's research (2019) which shows that the direct effect of EPS on stock returns has a positive and insignificant effect, after going through the mediation route there is still no relationship between EPS and stock return Effect of Return on Equity (ROE) on Stock Return

Based on the partial test results, it can be said that the return on equity (ROE) has a positive and insignificant effect on stock returns. The ROE variable has no significant effect on stock returns, indicating that the company cannot guarantee its equity with profits. Companies that are still small have ROE values that tend to increase rapidly in line with the increase in net income. This causes linear regression with samples of companies that have different growth phases to give insignificant results. Return On Equity is a piece of information that is responded negatively by stock exchange players, this is because the data distribution pattern of stock returns tends to decrease when a company's ROE increases. If viewed more deeply in terms of profits for shareholders, actually investing in shares in sector companies is very perspective. Thus, investors consider other factors more because they are less interested in Return on Equity.

The results of this study are not in line with Dina, isnurhadi, and Marlina (2020) which show that partially ROE has a significant effect on stock returns.


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Effect of Debt to Equity Ratio (DER) on Stock Return The results of the analysis that have been carried out show that the debt to equity ratio

(DER) has a positive and insignificant effect on stock returns. This means that the high and low value of the debt to equity ratio will not affect the value of stock returns. Stock return is the difference between the purchase price and the selling price. If the purchase price is lower than the selling price, you will get a capital gain. Vice versa, if the purchase price is higher than the selling price, you will get a capital loss. Meanwhile, debt used for the company's investment interests is used to support long-term company growth so as to generate high profits.

To get the maximum return, investors must have more mature knowledge of the technical analysis used to maximize profits. The factor of high and low debt is not used as a benchmark by investors, but buying and selling activities are carried out by other investors in stock trading activities. Because what affects the increase in stock prices depends on how many buy shares at the same time (short term), and vice versa. So that debt is irrelevant in determining the value of stock returns in the short term.

The results of this research are supported by previous research, namely Arum Novita Sari and Sri Hermuningsih (2020) and Novita (2019) in their research, which concludes that the debt to equity ratio has a positive and insignificant effect on stock returns. Effect of Dividend Payout Ratio (DPR) Mediates Earning Per Share (EPS) on Stock Returns

The results of the analysis of the effect of earnings per share on stock returns through the dividend payout ratio, where the direct effect of EPS on stock returns has no significant negative effect. Meanwhile, through mediation, that is not related between EPS and stock returns.

Empirical findings in this study show that dividend policy (DPR) cannot mediate the effect of EPS on stock returns in transportation and logistics sector companies listed on the Indonesia Stock Exchange for the 2016-2020 period. This is in line with Anismawati's research (2019) which shows that the direct effect of EPS on stock returns has a positive and insignificant effect, after going through the mediation route there is still no relationship between EPS and stock returns. Effect of Dividend Payout Ratio (DPR) Mediates Return on Equity (ROE) on Stock Returns

The results of data analysis of the effect of return on equity (ROE) on stock returns directly have a positive and not significant effect. Likewise, after going through mediation path, the effect of ROE on stock returns has a positive and significant effect. This means that dividend policy (DPR) mediates the effect of ROE on stock returns,

This research is in line with the research of Dina Nurhikmawaty, Isnurhadi, Marlina Widyanti, Yuliani (2020) which shows that the direct influence of ROE on stock returns has a significant effect, after going through the mediation route there is still a relationship between ROE and stock returns

Effect of Dividend Payout Ratio (DPR) Mediates Debt to Equity Ratio (DER) on Stock Returns

Based on the results of data analysis using path analysis, it denotes the direct debt to equity ratio (DER) on stock returns has a positive and insignificant effect. Meanwhile, through dividend policy (DPR) the effect of debt to equity ratio (DER) on stock returns has a positive and significant effect. This means dividend policy (DPR) can mediate the effect of DER on stock returns.


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This research is in line with the research of Dina Nurhikmawaty, Isnurhadi, Marlina Widyanti, Yuliani (2020) which shows that the direct effect of DER on stock returns does not have a significant effect, after going through the mediation route related between DER and stock returns.

CONCLUSION 1. Effect of Earning Per Share (EPS) on Dividend Policy (DPR) which shows that EPS has a

positive and significant effect on DPR on Transportation and Logistics Sector Companies listed on the Indonesia Stock Exchange.

2. Effect of Return on Equity (ROE) on Dividend Policy (DPR) which shows that ROE has a negative and significant effect on DPR on Transportation and Logistics Sector Companies listed on the Indonesia Stock Exchange.

3. The effect of Debt to Equity Ratio (DER) on dividend policy (DPR), which shows that DER has a negative and significant effect on DPR on Transportation and Logistics Sector Companies listed on the Indonesia Stock Exchange.

4. The Effect of Dividend Policy (DPR) on Stock Returns shows that the DPR has a negative and significant effect on Stock Returns in Transportation and Logistics Sector Companies listed on the Indonesia Stock Exchange.

5. The Effect of Earning Per Share (EPS) on Stock Returns shows that EPS has a negative and insignificant effect on Stock Returns in Transportation and Logistics Sector Companies listed on the Indonesia Stock Exchange.

6. The effect of Return on Equity (ROE) on Stock Returns shows that ROE has a positive and insignificant effect on Stock Returns in Transportation and Logistics Sector Companies listed on the Indonesia Stock Exchange.

7. The effect of Debt to Equity Ratio (DER) on Stock Returns shows that DER has a positive and insignificant effect on Stock Returns in Transportation and Logistics Sector Companies listed on the Indonesia Stock Exchange.

8. The results of the mediation test show that Earning Per Share (EPS) has a direct effect on stock returns. Meanwhile, dividend policy (DPR) cannot mediate the effect of Earning Per Share (EPS) on stock returns in Transportation and Logistics Sector Companies listed on the Indonesia Stock Exchange.

9. The results of the mediation test of the effect of Return on Equity (ROE) on stock returns mediated by the Dividend Policy (DPR) which shows that ROE through the DPR has a significant effect on the decline in stock returns in Transportation and Logistics Sector Companies listed on the Indonesia Stock Exchange.

10. The results of the mediation test of the effect of the Debt to Equity Ratio (DER) on stock returns through the Dividend Policy (DPR) which show that it has a significant effect. This means that the Dividend Policy (DPR) can mediate the effect of the Debt to Equity Ratio (DER) on stock returns in Transportation and Logistics Sector Companies listed on the Indonesia Stock Exchange.

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