Result and Discussion

4.1. Descriptive Statistic of Research Variables

This research is using six variables with metric scale. The variables consist of five independent variables and a dependent variable. The independent variables of this research are return of equity (ROE), debt equity ratio (DER), current ratio (CR), total asset turnover (TATO), and earnings per share (EPS), while the dependent variable is stock return. Decriptive statistics of each research variables can be seen in Table 3.

Table 3. Descriptive Statistic of Research Variables

Variables N Minimum Maximum Mean Std. Deviation

ROE 78 -82,890 163,566 1,152 20,868

DER 78 0,118 36,741 2,702 5,288

CR 78 0,076 17,197 1,927 2,740

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EPS 78 -128,000 2480,00 183,749 456,467

SR 78 - 0,746 2,238 0,009 0,518

4.2 Multiple Regression Analysis Results

Multiple regression analysis result for the research model can be seen on Table 4. It can be inferred that the significant value t (p-value) of independent variables (ROE, DER, CR, TATO, and EPS) are higher than the alpha significant value (0.05). This shows that those variables do not significantly affect stock return. Thus, the first to fifth hypotheses of this research are rejected.

Table 4. Regression Analysis Result

Variables

Stock Return

Coefficient Sig. t

C 0,017 0,562

CR -0,014 0,535

ROE 0,000 0,872

DER -0,007 0,582

TATO 0,005 0,907

EPS 0,000 0,620

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Adjusted R² - 0,054

Fcount 0,205

Sig. F 0,959

Moreover, we also investigate whether the research variables has a significant effect on dependent variables simultaneously. We conducted an F-test with the significant level of 0.05. As a rule of thumb, if the p-value (F significant value) is lower than alpha significant value (0.05), it means that there is a significant effect of independent variables toward dependent variable simultaneously. Based on the information derived from Table 4, F significant value (0.991) is greater than 0.05. Thus, the independent variables (ROE, DER, CR, TATO, and EPS) have no significant effect on stock return simultaneously.

4.3. Discussion

Theoretical Implications. The first hypothesis stated that ROE has a significant effect on stock return.

The result of this research is refusing the proposed hypothesis. Thus, this research finding shows that ROE does not have a significant effect on stock return. This finding supports the previous research finding by Rahardja (2005), Nur (2001), and Kennedy (2003).

The second hypothesis stated that DER has a significant effect on stock return. The finding of this research shows a reversed-result from the proposed hypothesis. This research shows that DER does not have a significant effect on stock return. It supports the finding of Martani, et.al (2009) and Harahap (2001).

The third hypothesis of this study stated that the CR has a significant effect on stock return. The third

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significant effect on stock return. This finding supports the findings of Martani, et.al. (2009).

The fourth hypothesis of this study indicates that TATO has a significant effect on stock return. This study found that the fourth hypothesis is rejected or that TATO does not have a significant effect on stock return.

This finding is consistent with the findings of Rahardja (2005) and Nur (2001).

The fifth hypothesis of this study propose that EPS has a significant effect on stock return. The findings of this study is not in line with the fifth hypothesis. This means that the EPS does not have a significant effect on stock return. These findings are consistent with the findings of Rahardja (2005).

In addition to partial results, results from this study also showed that the ROE, DER, CR, TATO, and EPS simultaneously have no significant effect on stock returns. We assumed that, given the stock return is reviewed by the basis of capital gains, there are severalthingsthatcaused thecompany’sfinancialratios do not have an influence into stock return of ISO 9001 certified companies.

The first cause is the global financial crisis that emerged in the period covered by the study. In the 2007-2008, financial crisis in America emerged, triggered by the collapse of Lehman Brothers in global stock market, so it impacted on stock prices in other countries, including stock prices in Indonesia (Park, 2010). Thus, the stock return is not affected by the financial ratios.

In addition, if associated with the context of the studied companies, the un-influenced financial ratios on stock return can also be caused by investor perceptions that the ISO 9001 certified companies have been improving itsmanagement’squality(Wilopo and Priyambodo, 2008). This condition can make the stock prices of ISO 9001 certified company remains good despite its financial ratios have not been encouraging.

In other words, the stock return is not affected by the financial ratios. Furthermore, some researchers, such as Hendricks dan Singhal, (2001), Easton dan Jarrell, (1998) Dowen dan Docking, (1999), Nicolau dan Sellers, (2002), also revealed that ISO 9001 certification as the implementation of total quality management may directly influence the company's stock return.

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interested parties, i.e. investors and issuers (companies). For the investors, the findings of this research can affect their decision in investing their money, wherein that in making investment, the investors should not be solely based on the consideration of financial aspects alone. Other aspects need to be considered by the investors are non financial aspects such as maturity of company’smanagement,human resource development programmes, business strategies executed, corporate’s image, as well as corporate’s attention to social and environmental issues.

For the issuers (companies), the findings of this research indicate that it is important for the company to focus not only on performance measurement of financial aspects in order to increase stock return in capital gain perspective. Kaplan and Norton (2000) proposed Balanced Scorecard model that balances all aspect of performances, both financial and non financial (i.e learning and growth, internal business process, and customer perception) aspects.

ISO 9001 certification is one of fundamental efforts conducted by the company to have good management system and focus on customer satisfaction and continuous improvement. Effectiveness of ISO 9001 certification of a company can be utilized to boost stock price, that will be increasing stock return.