Some previous researches show different results regarding the effect of
macroeconomics variables, market return, and financial performance on the stock
returns of companies who are in different industry sectors. Related to industry subsectors, each of the industry sub-sectors has different business risk that might affect
the stock return of the companies classified under each of the industry sub -sectors.
Because of these two reasons, the objectives of this study are to examine whether
there is any difference of stock returns among the consumer goods sub-sectors and
to examine the effect of macroeconomics variables, market return, industry sub sectors, and companies’ financial performance towards the stock returns of
consumer goods companies during the period of 2014-2018.
This study uses GDP growth rate, exchange rate, market return, food and
beverages sub-sector, tobacco sub-sector, cosmetics and household sub-sector,
ROA, ROE, CR, QR, TATO, DAR, DER, and PER, as the independent variables,
while for the dependent variable, this study uses stock returns of consumer goods
companies during the period of 2014-2018. This study uses difference of means test
and panel data regression in order to test the hypotheses.
The first result of this study showed that there is no difference of stock
returns among the consumer goods sub-sectors. The second result of this study
showed that only market return and TATO that positively affect the stock returns
of consumer goods companies during the period of 2014-2018. Meanwhile, the
other independent variables do not have effects towards the stock returns of the
consumer goods companies. In conclusion, fluctuations in the stock returns of
consumer goods companies during the period of 2014-2018 can be explained by the
market return and TATO.


Keywords: Macroeconomics Variables, Market Return, Consumer Goods Sector,
Financial Ratios, Asset Turnover, Stock Return