THE EFFECT OF CURRENT RATIO, RETURN ON EQUITY, AND DEBT TO EQUITY RATIO ON STOCK RETURNS ON THE INDONESIA STOCK EXCHANGE

This research examined the effect of the Current Ratio, Return on Equity, and Debt to Equity Ratio on Stock Returns in Kompas 100 Companies Listed on the Indonesia Stock Exchange in the 2015-2019 period. The sampling technique used in this study was purposive sampling. The samples obtained were 30 companies from 100 companies. The type of data used in this research is secondary data, and the method of analysis uses multiple linear regression analysis. Based on the data analysis done, the variable Return on Equity has a positive and significant effect on stock returns. The Current Ratio has a negative and insignificant effect on stock returns, and the Debt to Equity Ratio has a negative and insignificant effect on stock returns. The current ratio, return on equity, and debt to equity ratio simultaneously does not affect stock returns.


INTRODUCTION
The capital market is a meeting between parties with excess funds and those who need funds by trading securities. In this capital market, market participants, namely individuals or business entities with excess funds (surplus funds), will invest in shares offered by issuers or go public companies listed on the Indonesia Stock Exchange. The Indonesia Stock Exchange has several stock index categories, one of which is the Kompas 100 index. Kompas 100 is an index on the IDX with a membership of one hundred issuers consisting of several sectors in it.
The number of shares listed on the IDX often makes investors confused in choosing good stocks to include in their portfolio. Therefore, investors in investing will choose stocks that are included in the index in the capital market. The Kompas 100 Index is a stock index of 100 public company shares traded on the IDX. The IDX officially published the Kompas 100 Index in collaboration with the Kompas newspaper on Friday, August 10, 2007.
The selected stocks included in the Kompas 100 Index, apart from having high liquidity and large market capitalization, are also stocks with good fundamentals and performance. For example, the capital market has a new reference in creating index-based innovation products, for example, referring to the Kompas 100 Index. The Kompas 100 Index performs stock changes and evaluations every semester (6 months), namely February and August, and is released on the IDX website every period.
Return is obtained from the investment. Investment activity is an activity of placing funds in one or more assets during a specific period in the hope of obtaining income or increasing the value of the initial investment (capital), which aims to maximize the expected return within the acceptable risk limit for each investor (Jogiyanto, 2000). Information about financial statements is essential for investors because it relates to the level of return that will be obtained in the future. This information can be obtained when investors view the company's financial statements that have been published on the Indonesia Stock Exchange.
The company's current condition is the company's financial condition on a specific date (balance sheet) and a certain period (income statement). The profit of a company in each period is expected to increase continuously. So, it takes an estimate of the profit that the company will achieve for the next period. Estimation of profit can be done by analyzing the financial statements.
An investor needs to know the company's financial performance that will be invested in to estimate whether investing in the company is good or not and profitable. To help investors increase their insight about the advantages and disadvantages that will be obtained in investing, many researchers have tested the company's financial performance with the level of return that investors might receive in the future. Research on the effect of a company's financial performance has been widely carried out.
Research conducted by Candradewi (2016) explains that the return on equity variable significantly affects stock returns. The current ratio, debt to equity ratio, and total assets turnover variables have no significant effect on stock returns. The difference between the research conducted by Candradewi and this research is the type of company and the year used. The sample companies were LQ45 companies on the Indonesia Stock Exchange for the 2011-2015 period in the previous study. At the same time, this study uses Kompas 100 companies listed on the Indonesia Stock Exchange, with the 2015-2019 period.
Financial statements are made to find out an overview of the company's financial position and the results obtained by the company. Financial statements result from an accounting process that can communicate financial data between company managers and parties interested in these data. In general, financial statements are files that contain records of money. The point is a report that contains all kinds of transactions involving money, both purchases and sales, and credit transactions. Usually, this report is also made within a certain period. These financial statements are part of the financial reporting process.
Meanwhile, profit/loss reflects the results achieved during a specific period, usually in one year. Financial Accounting Standards (IAI, 2012) explain that the purpose of financial statements is to provide information about the financial position, performance, and changes in the financial position of an entity that is useful for a large number of users in making economic decisions. Financial statements also show what management has done (stewardship) or management's responsibility for its resources. In order to achieve these objectives, the financial statements present information about the entity, which includes assets, liabilities, equity, income, and expenses, including gains and losses, contributions and distributions to owners in their capacity as owners, and cash flows. Kasmir (2014) revealed that financial statements aim to provide information, namely: about the types and amounts of assets (assets) currently owned by the company, providing information about the types and amounts of liabilities and capital currently owned by the company, providing information about the types and the amount of income earned in a certain period, provides information about changes that occur in the assets, liabilities, and capital of the company, provides information about the performance of the company's management in a period, provides information about the notes to the statement financial statements.

LITERATURE REVIEW AND HYPOTHESES 2.1. Current Ratio and Stock Return
The current ratio shows the company's ability to pay the short-term debt. Companies that have a high value in the Current Ratio positively impact the company and investors. These positive impacts include increasing investor interest in buying shares and increasing demand for company shares with an increase in demand for shares, making stock prices increase and causing a positive impact on stock returns, namely an increase in stock returns for companies and investors. Conversely, if the Current Ratio shows the ability of current assets is low in paying debts, it will have a negative impact on the company and investors.
Based on this description, it can be concluded that the current ratio has a positive effect on stock returns. It is suspected that the Current Ratio has a positive effect on stock returns in the Kompas 100 company on the Indonesia Stock Exchange. Research conducted by Basalama et al. (2017)

Return On Equity and Stock Return
Research conducted by Mahardika and Artini (2017) on the Effect of Market Ratios and Profitability Ratios on Company Stock Returns on the Indonesia Stock Exchange explains that determining the number of samples uses the purposive sampling method, namely using criteria for sampling. Multiple linear panel data using Eviews and Stata as data processing. Based on the analysis results, it was found that partially price earning ratio and return on equity have a positive and significant effect on stock returns. In contrast, earnings per share have a negative but not significant effect on returns. Stocks and net profit margin have a positive but not significant effect on stock returns.

Debt To Equity Ratio and Stock Return
The debt to equity ratio describes the company's capital structure used as a source of business funding. Debt to Equity Ratio shows that the company's ability to what extent the company is funded by debt will know the company's burden in meeting the debts given by creditors. If the company's operations are funded with large debts by creditors, it will negatively impact. The negative impact is that the profits earned by the company will be prioritized first to pay debts so that it has an impact on dividend distribution. Large debt will be a burden on the company, and in the eyes of investors, the high burden will reduce investors' interest in investing their capital. The decline in investor interest had a negative impact on stock prices and spread to total returns. It is suspected that the Debt to Equity Ratio has a negative effect on stock returns at the Kompas 100 company on the Indonesia Stock Exchange.

Current Ratio, Return On Equity, Debt To Equity Ratio, and Stock Return
In previous research conducted by Malinggato et al. (2018), it was said that the current ratio, return on equity, and debt to equity ratio simultaneously affect stock returns in pharmaceutical companies listed on the Indonesia Stock Exchange for the period 2014-2016. Another study conducted by Basalama et al. (2017) shows the same results: the current ratio, debt to equity ratio, and return on assets affect stock returns. It is suspected that the current ratio, return on equity, and debt to equity ratio affect the stock return of Kompas 100 on the Indonesia Stock Exchange simultaneously.
Ma'arif (2017)  Rusydina (2017) research on the Effect of Financial Ratios on Stock Returns explains that the sampling technique uses purposive sampling with multiple regression analysis techniques. The test results show that the current ratio, debt to equity ratio, total asset turnover, return on equity, and earnings per share together affect stock returns. These results are supported by the obtained correlation coefficient of 61.4%. So these results indicate that there is a relationship between the model used on stock returns. The test results partially show that the current ratio and total asset turnover do not significantly affect stock returns. While the variable debt to equity ratio, return on equity, and earnings per share significantly affected stock returns. Then, further research was conducted by Malinggato et al. (2018), with the title about the effect of the current ratio, debt to equity ratio, and return on equity on stock returns in pharmaceutical companies listed on the Indonesia Stock Exchange. The results explain that the analytical method used is multiple linear regression analysis. This study indicates that simultaneously Current Ratio, Debt to Equity, and Return On Equity affect Stock Return, but partially Current Ratio does not affect. Pharmaceutical companies should increase the profit received to attract more investors to the company to increase the stock return that the company will receive.

Research Design
The type of research used in this study is a quantitative approach. A quantitative approach is an approach that uses data in the form of numbers in statistical analysis. This quantitative approach gives more meaning concerning the interpretation of statistical figures. According to Sugiyono (2009), this research is associative-causal, namely research that aims to determine the relationship between two or more variables, namely the independent/independent variable (X) to the dependent/bound variable (Y). This study's independent variable (X) is the Current Ratio, Return On Equity, and Debt To Equity Ratio. At the same time, the dependent variable is Stock Return.

Research Sample
The population in this study were Kompas 100 companies listed on the Indonesia Stock Exchange (IDX) with an observation period starting from 2015 -2019. The sample in this study was 30 of 100 Kompas 100 companies listed on the IDX in 2015-2019. Sampling in this study using the purposive sampling method. The method limits the selection of samples based on specific criteria. The criteria for sampling are the Kompas 100 company which is consistently listed on the Indonesia Stock Exchange for the 2015-2019 period, the Kompas 100 company, which presents financial statements in rupiah during the 2015-2019 period, publishes complete financial statements, the company earns a profit from 2015 through 2019. The years studied are from 2015-2019.

Data Analysis
The data used in this research is secondary data. The researcher himself does not collect secondary data, for example, data from the Central Bureau of Statistics, magazines, information, or other publications. This research data are in the form of financial reports published by the company Kompas 100, which are published through the Indonesia Stock Exchange (IDX). The data used in this study are financial statements for 2015 to 2019 during the observation period issued by the sample companies. In this study, researchers took data from financial reports published through the Indonesia Stock Exchange, which can be accessed through www.idx.co.id.
This study uses two methods of data collection, namely, literature study and documentary study. A literature study is a research conducted by collecting data and theories relevant to the problem to be studied by conducting a literature study of literature and other library materials such as articles, journals, books, and previous research. Meanwhile, the documentary study is secondary data collection in the form of annual reports of banking companies listed on the Indonesia Stock Exchange from 2010 to 2015.
The dependent variable (bound) is a variable that is influenced or becomes a result because of the independent variable (Sugiyono, 2012). In this study, the dependent variable is stock return as a variable (Y). Return is the level of profit enjoyed by investors on their investments. The type of return used in this study is realized returns, often called actual returns, capital gains, namely the difference between the current period's stock price and the previous period's stock price divided by the previous period's stock price. The actual return of each stock during the event period is formulated as follows (Jogiyanto, 2014): Ri= Stock returns = Information : Pt = Stock price in period t. Pt-1 = Stock price in the previous year Independent variables are variables that are often referred to as stimulus, predictor, and antecedent variables. This variable affects or is the cause of the change or the emergence of the dependent variable (Sugiyono, 2012). Concerning the problem under study, the independent variables are the Current Ratio, Return On Equity, and Debt to Equity Ratio. Current Ratio, this ratio measures the company's ability to meet its short-term debt by using its current assets. If this ratio is low, it will indicate a high liquidity risk. In contrast, a high current ratio indicates an excess of current assets, which will have an adverse effect on the company's profitability. Current assets generally generate lower returns than fixed assets.

Current ratio =
Return On Equity, this ratio measures the extent to which the company can generate profits for shareholders on the capital they have invested. The bigger this ratio, the better because the company's ability to earn profits through sales is relatively high, and the company's ability to reduce costs is quite good. The following formula can calculate ROE:

Return On Equity =
The debt to Equity Ratio ratio measures the company's long-term liquidity and thus focuses on the right side of the balance sheet. The ratio that compares the amount of debt to equity. Analysts and investors often use this ratio to see how much debt the company owes. When compared to the equity owned by the company or shareholders. The higher the DER number, it is assumed that the company has a higher risk of its liquidity.
The data analysis technique is an essential step in research. The data analysis technique in this study used descriptive quantitative analysis. The function of descriptive statistical analysis, among others, is to present information in such a way so that other people in need can utilize the resulting data.

Research Result
Testing the data will be carried out through several steps, namely descriptive statistical analysis and hypothesis testing. Hypothesis testing in this study was carried out by multiple linear regression analysis, coefficient of determination test, T-test, and F test. Descriptive statistical analysis of this study aims to provide an overview of the variables in the study. Descriptive statistics used based on the average value, standard deviation, variance, maximum, minimum, sum, range, and kurtosis.
The data analysis method was carried out with the help of the SPSS computer application program. Hypothesis testing was carried out with multiple linear regression to determine how significant the relationship between the independent and dependent variables is. Regression analysis performed = Regression coefficient of Debt to Equity Ratio e = Error The next test step is carried out by testing the coefficient of determination used to determine the effect of the independent variable with the dependent. In this study, the coefficient analysis used is Adjusted R Square, the independent variable used is more than one variable. Meanwhile, the Ttest was conducted to test whether the variables Current Ratio, Return On Equity, and Debt to Equity Ratio significantly affected Stock Return. Meanwhile, the F test was conducted to test whether the variables, namely Current Ratio, Return On Equity, and Debt to Equity Ratio, simultaneously significantly affect Stock Return.

Descriptive Statistics
Descriptive statistics have a function to provide an overview or description of data seen from the average value (mean), standard deviation, maximum, and minimum. The following table is the result of the descriptive statistical tests that have been carried out.

Multiple Linear Regression Analysi s
The regression equation in this study aims to determine how much influence the independent variables, namely the current ratio, return on equity, and debt to equity ratio, have on the dependent variable, namely stock returns. Based on the table of multiple linear regression analysis test results above, the regression equation is obtained as follows: Y = -17273119,054 + -0,015CR + 0,175ROE + -0,044DER The X1 coefficient value is -0.015, which means that the Current Ratio increases by 1 unit, then the Stock Return will decrease by -0.044 with the assumption that X2, X3 remains. X2 coefficient value is 0.175, which means Return on Equity increases by 1 unit, then Stock Return will increase by 0.175 assuming X1, X2 remains. The X3 coefficient value is -0.044, which means that the Debt to Equity Ratio increases by 1 unit, then the Stock Return will decrease by -0.044, assuming X1, X2 remains.

Determinant Coefficient Test
The coefficient of determination is one of the analytical tools used to determine the effect of the independent variable on the dependent variable. In this study, the coefficient analysis used is Adjusted R Square because the independent variable used is more than one variable. The table above shows that the coefficient of determination test produces an Adjusted R Square of 0.031 or 3.1%. This shows that the variables studied are Current Ratio, Return On Equity, and Debt To Equity Ratio affect Stock Return of 3.1% while other variables influence 96.9%.

T-test
The t-test is used to test how the influence of the independent variables individually on the dependent variable. The independent variables in this study are the Current Ratio, Return On Equity Ratio, and Debt to Equity Ratio. The dependent variable in this study is a stock return. The results in the partial test state that if the test results have a significant level of less than 0.05, then the hypothesis is accepted. Vice versa, if the resulting significant level is more than 0.05, then the hypothesis will be rejected.

F-test
The F test is known as the simultaneous test or ANOVA test, which is a test that aims to see how the influence of all independent variables simultaneously affects the dependent variable. In the ANOVA test, if the test results have a significance level of less than 0.05, then the hypothesis being tested can be accepted. On the other hand, if the test results show a significant level greater than 0.05, then the tested hypothesis is rejected. The

Discussion
This study aims to determine the effect of the Current Ratio, Return On Equity, Debt to Equity Ratio variables partially or simultaneously on stock returns in the Kompas 100 company in 2015-2019. Based on the analysis results, the discussion of the research results is as follows: The results of multiple linear regression showed the R2 value of 0.031 or 3.1%. This shows that the variables studied are the Current Ratio, Return On Equity, and Debt to Equity Ratio, which affect stock returns of 3.1%, while 96.9% is influenced by other variables that are not examined. The regression coefficient of the CR variable is negative (-), which is 0.015. This shows that the relationship between CR and stock returns is not unidirectional.
The results of the regression coefficient test obtained the t-count value of -0.892 with a significance of 0.374 when compared with the expected significance level of 5%, which means that the t-count is greater than the expected significance level (0.374 > 0.05). So it can be concluded that CR does not affect stock returns, so the first hypothesis is rejected. In this study, CR showed negative and insignificant results. CR does not affect stock returns, meaning that companies with high CR will not necessarily produce high stock returns. A high CR value indicates that the availability of current assets to pay off current liabilities is also high. In contrast, current assets contain cash and cash equivalents, receivables, inventories, and marketable securities.
However, a high CR does not necessarily guarantee sufficient cash to meet its current liabilities. These results are consistent with the research conducted by Candradewi (2016) and Ma'arif (2017), whose results show that the current ratio has a negative and insignificant effect on stock Conversely, a low Return On Equity indicates that the company is ineffective and efficient in maximizing its equity. The higher the Return on Equity, the higher its success in managing and empowering its equity to generate profits. In connection with this, it will positively impact investors, namely, creating added value to attract investors to invest their funds in the company. So it will make stock prices increase. In other words, Return On Equity has a positive impact on stock returns.
These results are consistent with research conducted by Candradewi (2016) Their results show that ROE has a positive and significant effect on stock returns. The regression coefficient for the DER variable is negative (-), which is 0.044. This shows that the relationship between DER and stock returns is not unidirectional. The results of the regression coefficient test obtained a tcount value of -1.761 with a significance of 0.081; when compared with the expected significance level of 5%, it means that tcount is greater than the expected significance level (0.081 > 0.05). So it can be concluded that DER does not affect stock returns, so the third hypothesis is rejected. The debt to equity ratio describes the company's capital structure used as a source of business funding. A negative DER means that the higher the debt to equity ratio indicates, the higher the composition of the company's debt compared to its capital. It significantly impacts the company's burden on outside parties because it will increase its solvency. This is because the company will try to fulfill its debt obligations before providing returns to investors.
The higher the DER reflects the company's relatively high risk; as a result, investors tend to avoid stocks that have a high DER value. These results are consistent with research that has been conducted by Candradewi (2016) (2017), whose results show that DER has a negative influence and does not significant to stock returns.

CONCLUSION
Based on the tests' results, it is concluded that the current ratio has a negative and insignificant effect on stock returns at the Kompas 100 company listed on the Indonesia Stock Exchange for the 2015-2019 period. A high current ratio is not certain to produce high stock returns, and debt payments will be fulfilled when the company is due. This can be caused by the high value of the amount of inventory compared to estimated future sales. It will show excess inventory and show that the company cannot maximize the existing inventory. Return on Equity has a positive and significant effect on stock returns in food and beverage companies listed on the Indonesia Stock Exchange for the 2015-2019 period. A high Return On Equity means that the company maximizes its equity effectively and efficiently.
Conversely, a low Return On Equity indicates that the company is ineffective and efficient in maximizing its equity. The higher the Return On Equity shows the company successfully manages and empowers its equity to generate profits. In connection with this, it will positively impact investors, namely, creating added value to attract investors to invest their funds in the company. The Debt to Equity Ratio negatively affects stock returns in Kompas 100 companies listed on the Indonesia Stock Exchange for the 2015-2019 period. The larger the Debt to Equity Ratio shows the capital structure originating from debt to meet equity.
Conversely, if the Debt to Equity Ratio has a low value, the better the high DER will negatively impact. From the creditor's perspective, the risk of default on the company's debt will also be more significant. From the investor's perspective, it means that to fulfill the company's operational activities from loans or more significant debts, it will show that its performance is not good. Stock returns will decrease, so the Debt to Equity Ratio has a negative effect on stock returns. Together, the Current Ratio, Return on Equity, and Debt to Equity ratio does not affect stock returns in Kompas 100 companies listed on the Indonesia Stock Exchange for the 2015-2019 period. Based on the study results, it is stated that the Adjusted R2 value is 0.031 or 3.1%. This shows that the variables studied affect stock returns of 3.1%, while 96.9 is influenced by other variables not examined.
Meanwhile, as a suggestion for potential investors who want to invest their funds, they should pay attention to and weigh the return on equity because this ratio has been proven in this study to influence stock returns in the Kompas 100 company listed on the Indonesia Stock Exchange for the 2015-2019 period. For further researchers, it is recommended to add other financial ratios as independent variables because it is possible that other financial ratios that are not included in this study affect changes in stock prices concerning stock returns.