Do payout, leverage, and size move stock prices? Panel evidence from LQ45 firms using first differences
DOI:
https://doi.org/10.58784/cfabr.435Keywords:
dividend payout ratio, long-term debt to equity ratio, firm size, stock price, LQ45, Indonesia Stock ExchangeAbstract
Stock prices in emerging markets are shaped by firm fundamentals, capital structure, and payout policy, yet evidence from Indonesia's LQ45 blue-chip index remains inconclusive. This study examines the partial and simultaneous effects of the dividend payout ratio (DPR), the long-term debt to equity ratio (LTDER), and firm size on the stock prices of LQ45-listed companies on the Indonesia Stock Exchange during 2021–2024. Drawing on Agency Theory and signaling theory, it analyzes a balanced panel of annual financial-report data for 18 companies selected through purposive sampling, using multiple linear regression. Because the initial model estimated in levels showed serial correlation in the residuals, the final model was estimated in first differences, which satisfied the classical assumption tests, and the conclusions were checked with alternative panel specifications. The results show that none of the three variables has a significant effect on changes in stock prices, either partially or simultaneously. The significant effects of LTDER and firm size in the levels model do not survive the correction for autocorrelation and appear to reflect persistent differences between firms rather than within-firm effects. The study contributes panel evidence from a highly liquid emerging-market segment and shows that ignoring serial correlation in short panels can overstate statistical significance. For practice, investors should not rely on year-to-year changes in payout, leverage, or firm size alone to anticipate price movements; future research should use longer periods, wider samples, and dedicated panel estimators.
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