THE EFFECT OF PROFITABILITY, CAPITAL STRUCTURE AND CORPORATE VALUES ON RETURN OF SHARES (TELECOMMUNICATIONS SUB SECTOR IN INDONESIA STOCK EXCHANGE 2014-2018)

DOI:10.31933/DIJDBM Abstract: The development of increasingly stringent business world in Indonesia will create an increasingly sharp competition between companies. Firms in the industry in Indonesia is a land for investors to invest capital to be invested in various forms of securities. So it is not wrong for the company's various aspects and types become part of the capital market. This study was conducted to determine the effect of ROE, DER and PBV to Stock Return on Telecommunications Sector Sub Listed in Indonesia Stock Exchange. This study uses annual data for the observation period from 2014 until 2018. The research type is descriptive causality. The data used is the data panel that is a combination of annual time series data and cross section were processed using panel data regression analysis. The population is all Sub-Sector Telecommunications listed in Indonesia Stock Exchange from 2014 until 2018 the number of 5 companies. The sampling technique used purposive sampling, found a sample of four companies with the observation of 5 years in order to obtain total observation as much as 20. Data were obtained from the Indonesia Stock Exchange, and Yahoo Finance. Analysis of the data in this study is panel data regression. The model used is the Common Effect Model. The analysis showed that the ROE does not have a significant effect on stock returns, DER has no significant effect on stock returns, while PBV positive and significant effect Stock Return on Telecommunications Sector Sub Listed in Indonesia Stock Exchange.


INTRODUCTION
The development of increasingly stringent business world in Indonesia will create an increasingly sharp competition between companies. The companies in the industry in Indonesia is a land for investors to invest capital to be invested in various forms of securities. So it is not wrong for the company's various aspects and types become part of the capital market.
Capital market in Indonesia has a lot of sectors one of which is infrastructure, utilities and transportation are companies which development is very fast and good. The amount of funds expended in the construction of infrastructure, utility and transportation to be an indicator that a country is very dedicated in providing the best facilities for its residents. Besides having great benefits Infrastructure, Utilities and Transportation has also become a critical success factor in the Indonesian economy. Infrastructure, Utilities and Transport are growing rapidly and could push the country's revenue and support economic growth in Indonesia.  Ross (1976) revealed that the Arbitrage Pricing Theory (APT) is based on the premise that states that two (2) investment opportunities have the same characteristics are not able to be sold at different prices, further this theory assumes that the level of such benefits can be affected by various factors systematic. The correlation between the rate of profit of 2 (two) securities occurs because the securities are influenced by several factors the same.

LITERATURE REVIEW
Signaling Theory or signal theory developed by (Ross, 1977), stated that the company executives have better information about the company will be compelled to pass on the information to potential investors that its stock price increase.
Profitability ratio According to Winarto (2015), Profitability ratio is the ratio to assess the ability of the enterprise for profit. This ratio also provides a measure of the effectiveness of management of a company. Return On Equity (ROE) to measure profitability, with net income formulas available to common shareholders divided by the number of equity shares. The following formula can be used to calculate the Return On Equity (ROE):

ROE = Earning After Tax Total Equity
Capital Structure According to Fahmi (2014), the capital structure is the ratio of debt to equity is a ratio used to measure the proportion of debt to equity. Debt to Equity Ratio (DER) is a ratio used to measure a company's debt incurred compares to their own capital. DER measurement units are as follows:

DER = Total Liabilities Total Equity
Company Value, According Pantow et al (2015), The company's value is a company's performance, as reflected by the stock price is formed by supply and demand in the capital markets that reflect the public's assessment of the performance of the company. Price to Book Value (PBV) is the ratio of the market used to measure performance against the market price of their book value, which is projected by the following formula: Return Stocks, Gitman (2012) is the total gain or loss on an investment over a given period. This is usually measured as the change in value added distribution of cash over a period of time, expressed as a percentage of the value of the initial investment period.

Rs =
Pt − Pt-1 Pt-1 This research has been carried out by some previous investigators related to profitability, capital structure, corporate value and stock returns, such as: Nuryaman (2015) (2014) Based on the literature reviews that Mentioned avobe, the theoretical framework of the research is as follows:

RESEARCH METHODS
This type of research is associative research, the research aims to examine the influence or relationship between two or more variables (Sugiyono, 2014). In this study, researchers will analyze the effect of variable profitability, capital structure, and Value to Return Sub-Sector Shares Telecommunications Company Listed in Indonesia Stock Exchange (IDX), which amounts to five companies from 2014 until 2018. The samples were collected from four companies Telecommunications , Panel data regression analysis is used to determine the effect of the independent variable on the dependent variable. Panel data regression equation is as follows: Yit = α + β Xit + εit Where: Yit = Variable response at the i-th observation units and time to t Xit = The predictor variables in the i-th observation units and time to t α = Intercept regression model β = Slope coefficient or coefficients directions εit = Component error on the i-th observation units and time to t Then, a test on the goodness of fit model (F-test) is conducted. This test is used to Determine Whether all of the independent variables Affect the dependent variables or not (the goodness of fit models). If the models is significant, then we will see the result of the coefficient of determination. The coefficient of determinationused to measure how far the model's ability to explain variations in the dependent variable. R2 small value means the ability of independent variables in explaining the variation of the dependent variable are very limited. A value close to the mean of independent variables provide almost all the information needed to predict the variation of the dependent variable (Ghozali, 2006). Furthermore t test, t test showed how far the influence of the independent variable (independent) individually in explaining the variation of the dependent variable. (Ghozali, 2006). Common-Constant method selected when there are differences between the data-dimensional matrix in cross section. This model means that estimates the value of the constant α for all the dimensions of the cross section. Based on the results of the regression using methods common-Constant in Table 4.6 it can be concluded that the ROE, DER results are not significant with the acquisition probability> 0:05 α. while PBV yield significant results with the acquisition probability <α 0:05. for results R-square (R2) of the method of 0.618158, explain the strong relationship between the independent variable and dependent variable. Based on the results of the regression using Random Effect method can be concluded that all ROE and DER results were not significant with the acquisition probability> α 0:05 whereas PBV variable yielded significant results with the acquisition probability <α 0:05, For the results of the R-square (R2) of this method gives a value of0.618158 that explain the strong relationship between the independent variable and dependent variable. Based on Table 6 it can be seen that the F-Stastistic = 8634036 <3:10 (Ftabel) and has a probability value of F-Statistic 0.001226 <0:05. So that the models used are not eligible to explain the influence of the independent variable on the dependent variable. Based on the results of such calculations in Table 7 above it can be seen that the influence of the independent variable on the dependent variable stock price visible Telecommunication subsector of Adjusted R-Squared value that is equal to 0.546562or 54.6562%. it indicates54.6562% Of shares Return which may be explained by the variation of all independent variables of ROE, DER and PBV. While the rest of 100% -54.6562% = 45.3438% explained by other independent variables were not examined.

CONCLUSION AND SUGGESTION
The test result data by using E-views 9 obtained Effect Model Common models. Based on the analysis and discussion, it can be concluded as follows: Variable Return On Equity (ROE) had no significant effect on Return on Equity Sub-Sector Telecommunications Listed on the Stock Exchange from 2014 until 2018. This can be interpreted Investors assess the ROE as information instead responded in the negative to the stock return this can be seen from the sub-sector of Telecommunications require funds for expansion and going concern funding requirements can be obtained through retained earnings and Improvement of State Capital actually impact rebounding stock price drop , Variable Debt to Equity Ratio (DER) did not significantly influence stock return Sub-Sector Telecommunications Listed on the Stock Exchange from 2014 until 2018, These results indicate that the greater the value of DER signaling that venture capital structure more use of debt relative to equity causing investors' assessment of the company is getting worse, as a result investors tend to avoid stocks that have a high value in the Sub DER Telecommunications Sector Listed on the Stock Exchange from 2014 until 2018.
Variable Price to Book Value Ratio (PBV) positive and significant impact on Return Shares in the Sub-Sector Telecommunications Listed on the Stock Exchange from 2014 until 2018. PBV positive on stock returns means PVB has a high value it showed the higher the investors' assessment of the company concerned, this condition results in increasing a company's stock price, thus also expected to increase the level of return (return) of the company concerned.