The Effect of Market Value Added ( MVA ) , Liquidity and Solvency Ratio and Dividend Policy on Stock Return with Firm Size as the moderating variable ( Study on LQ 45 Companies in Indonesia Stock Exchange )

| ABSTRACT This study aims to analyze the effect of Market Value Added (MVA), Liquidity and Solvency Ratios, and Dividend Policy on Stock Returns with Firm Size as a moderating variable (Study on LQ45 Companies in Indonesia Stock Exchange) the periods of 2015 to 2019. The research samples consist of 28 companies with the object of research the Market Value Added, Liquidity Ratio, Solvency Ratio and dividend policy as independent variables, Stock Return as a dependent variable and Firm Size as the moderating variable. The analysis uses multiple regressions with E-views version 10. The results show that the liquidity ratio and dividend policy have a significant effect on stock returns, while market value-added and solvency ratios have no effects. Firm size can moderate the liquidity ratio and dividend policy on stock returns, but it cannot moderate market value-added and solvency ratio to stock returns.


Introduction
In investing activities, investors expect to get a return on their investment (Stock Return). High stock return (RS) is also an indicator of the company's success. A successful company will provide many benefits for employees, suppliers, consumers, industry and the country's economy. Because of that, the study of RS is important. While the factors that affect stock returns are many, the variables of Market Value Added (MVA), Liquidity Ratio, Solvency, and Dividend Policy in previous studies have inconsistent results. On the other hand, whether the effect of these variables on RS is also moderated by FS or not, as is shown in the previous study. Therefore, a study on the effect of MVA, Liquidity Ratio, Solvency and Dividend Policy with FS as moderation was carried out. Jensen and Meckling (1976) created agency relationships, where one or more people (the person) hired another person (the agent) to provide services on their behalf and give the agent the right to make decisions. It is defined as a contract to give.

Agency Theory.
Agency theory strongly supports contractual interactions with firm size, which acts as a coordinating variable to explain the number of agency costs required based on the size of the company according to agency theory, solvency and liquidity ratios and dividend policy are the benchmarks, based on the company's costs of capital and market value-added as the benchmark in creating added value for the company.
According to Riyanto (Robiatul and Setyawati,2019), Firm size (Company Size) is a large picture of a company as indicated by total assets, total sales, average sales and total assets. As the size of the company increases, so does the number of investors who are willing to invest their capital in it. This is due to the fact that large businesses are gradually increasing their operational stability. However, the stability of the firm encourages investors to buy shares in the company (Handayani et al.,2019). Therefore, company size has a role in strengthening or weakening the effect of market value-added, liquidity ratio, solvency ratio, dividend policy on stock returns. Therefore, Firm size moderates the significant effect of MVA on Stock Return(H5). Firm Size moderates the significant effect of the liquidity ratio on Stock Return(H6). Firm Size moderates the significant effect on solvency ratio on Stock Return(H7). Firm Size moderates the significant effect of dividend policy on Stock Return(H8) The relationship between variables can be seen in Figure 1  x 100% Earning Per Share sample was used, which involved a sample of 28 companies from 60 listed companies with an observation period of 5years (2015to 2019. The data analysis used is multiple regression with E-views version 11.00, which was carried out in the following stages: a)descriptive statistical analysis, b)panel data model estimation, c)panel data regression model selection, d)Classical assumption test, and e) Hypothesis Testing which includes: Coefficient of Determination Analysis, Fstatistic test, T-statistic test and multiple regression analysis.

Results
Multiple linear regression analysis is used to see the effect of whether there was the effect of market value-added, liquidity and solvency ratio and dividend policy on stock return with firm size as the moderating. The results of multiple linear regression analysis were performed with E-views version 11.00

Panel Data Regression Model Estimation
There are 3 model approaches for panel data regression, namely: Common effect model (CEM), fixed effect model (FEM), random effect model (REM). From the 3 models, the best model will be selected using the Chow Test, Hausman Test and Lagrange Multiplier Test.

10) Lagrange Multiplier Test 11) Common Effect VS Random Effect 12) Random Effect
Source: processed data From

Classic assumption test
The panel data regression selection resulted in the selected model, namely the Random Effect Model, where this model was designed with the Generalized Least Square approach, so no classical assumption test was needed (Indra, 2018).

Hypothesis Testing
Hypothesis testing will include the Model Feasibility test (F test), Coefficient of Determination (Adjusted R2, statistical t-test and multiple regression analysis.

Model Feasibility Test (F Test).
The P-value of F-statistic 0.028 997 (<0.05) indicates that the regression equation model is feasible.

Coefficient of Determination (R2)
Adjusted R square value is 0.066158, indicating that the model is able to explain 6.61%, and the remaining 93.39% is influenced by variables outside the model.

Statistics T-Test
The statistical test aims to measure the significance of the effect of MVA, CR, DER, DPR moderated by FS on RS, where a variable is declared to have a significant effect when the probability is <0.05. Table 7 presents a summary of the results of hypothesis testing. Variables that have a significant effect on RS are variables with probability < than 0.05, namely CR with positive direction and DPR with negative direction, while MVA, DER have no effects. Meanwhile, FS is able to moderate the effect of CR (with a negative direction) and DPR (with a positive direction) on RS but does not moderate the effect of MVA and DER on RS. Thus, hypotheses 2,4,6 and 8 are accepted, while hypotheses 1,3,5 and 7 are rejected. The constant is 0.137208, meaning that if the Market Value Added, Liquidity Ratio, Solvency Ratio, dividend payout ratio and Firm Size moderating variable are 0 (no changes), then the stock return will be 0.137208.

Panel Data Regression Model
The Market Value Added regression coefficient is 2.56E-15, MVA has a positive relationship to stock returns, so if MVA increases by 1 unit while other independent variables and moderating variables are fixed (no changes), then the stock return variable will increase 2.56E -15.
Liquidity Ratio regression coefficient is 0.955913. Liquidity Ratio has a positive relationship to stock returns, so if CR increases by 1 unit while other independent variables and moderating variables are fixed (no changes), then the stock return variable will increase by 0.955913. Solvency Ratio (DER) regression coefficient -0.044205, Solvency Ratio (DER) has a negative relationship to stock returns, so that if DER decreases by 1 unit while other independent variables and moderating variables are fixed (no changes), then the stock return variable will increase by 0.044205.
The dividend payout ratio regression coefficient is -3.759718, the dividend payout ratio has a negative relationship to stock returns, so if the DPR decreases by 1 unit while other independent variables and moderating variables are fixed (no changes), then the stock return variable will increase by 3.759718. MVA*SIZE is the multiplication between the MVA variable and the Firm Size moderating variable. Regression coefficient -8.67E-17, Firm Size weakens the influence of Market Value Added on stock returns. DPR*SIZE is the product of the dividend payout ratio variable and the moderating variable Firm Size. Regression coefficient 0.117048, Firm Size strengthens the effect of dividend payout ratio on stock returns .

Conclusion
a. The Market Value Added has no significant effects on stock returns. b. The Liquidity Ratio (CR) has a significant effect on stock returns. c. The Solvency Ratio (DER) has no significant effects on stock returns. d. The Dividend Policy (DPR) has a significant effect on stock returns. e.The Firm Size cannot moderate the relationship between the effects of market value-added and stock returns. f. The Firm Size can moderate the relationship between the effects of the liquidity ratio and stock returns. g. The Firm Size cannot moderate the relationship between the effects of solvency ratios and stock returns. h. The Firm Size can moderate the relationship between the effects of dividend policy and stock returns.

Suggestions a. For Management (Company)
Given that the feasibility test results of the regression model for the influence of Market Value Added, Liquidity Ratio, Solvency Ratio and Dividend Policy with Firm Size as moderation are 'fit', it is recommended that management consider these variables to achieve high stock returns b. For further researches Given that the regression model of the influence of Market Value Added, Liquidity Ratio, Solvency Ratio and Dividend Policy with Firm Size as moderating, only results in the variable Liquidity Ratio, Dividend Pay Out Ratio having a significant effect on Stock Return and Firm Size is able to moderate this effect, while the Market variable Value Added and Liquidity Ratio has no significant effects, and Firm Size cannot moderate this effect, it is suggested that the next researcher re-examine the variables that have no effects in order to obtain better results by including considerations, among others, with other measurements of Stock Return, different either the year of observation or the type of business of a company.