LTV, Macro Economics and ROE to Stock Return in Real Estate and Property Companies Listed on LQ 45 Period 2009 – 2017

The purpose of this research is to exemine the effect of Loan to Value (LTV), exchange rate, Gross Domestic Product (GDP), Interest Rate and Return on Equity (ROE) to return of property stock that entered at LQ 45 in Indonesia Stock Exchange period 2009 2017. Using selected 5 Real Estate and Property Companies as research samples. Panel Data Regression Tehniques were use for this research. The result of this research is LTV partially has no significant effect on stock return, partial exchange rate has no significant effect on stock return, GDP partially significant effect of stock return interest rate partially does not have significant influence retun share, ROE partially significant effect of stock return and there is simultaneously significant influence between LTV, exchange rate, GDP, interest rate and ROE to stock return.


Introduction
In Graph 1.1, the sales volume of residential in quarter IV-2013 is slowed. Survey results show that quarterly residential property sales is slowing down from 39.80% (qtq) to 13.05% (qtq). The existence of the 2013 provision of LTV policy also has an impact on the decrease in occupancy demand. The slowing increase in sales mainly occurs in small type houses. Quoted from the Prima-ry Market Residential Property Price Survey (IHPR), the decline in property sales volume triggered a decline in property prices. According to (Ang, 1997), there are factors that affect the return of an investment. First, internal factors such as the quality and reputation of management, capital structure, corporate debt structure, and so forth. The second concerns external factors, such as the influence of monetary and fiscal policy, the development of the industrial sector, economic factors such as changes in exchange rates, prevailing interest rates, changes in GDP (Gross Domestic Product), and so forth. LTV policy is also one of the macroeconomic variables that can affect stock returns.
The effects of LTV, exchange rate, GDP, interest rate and ROE on stock returns have been studied by (Suharyanto & Asma, 2013) and (Setiawan & Mimba, 2015) examined the abnormal return stock analysis before and after LTV regulations. (Nasution, 2013) examines the effect of LTV and macroeconomic variable shock on the growth of the property industry. Then (Nasir & Mirza, 2011), (Aquasari, 2011), (Pratiwi & Hendrawan, 2014), (Lukisto & Anastasia, 2014), examine the macro economic effects such as exchange rate, GDP and interest rate on stock return. (Anwar & Farida, 2016), (Salim & Simatupang, 2016), (Maulida, Utami, & Sumani, 2010), (Sudarno & Pratiwi, 2014) and (Hadiansyah & Gunawan, 2017) in addition to researching macroeconomic influences also examine the performance of companies represented by ROE , ROA and other company ratios. (Hadiansyah & Gunawan, 2017) evaluated Macroeconomic and Fundamental Analysis of Banking Share Price Listed on LQ 45 Index. With partial results Inflation has no effect and positive on banking stock prices. The exchange rate of currency, ROA and DER have an effect and negative to banking stock price. ROE and LDR have no effect and negative to banking stock price. EPS has a positive and positive effect on banking stock prices. Simultaneously variable of inflation, currency exchange rate, ROA, ROE, EPS, DER, and LDR influence to stock price of banking. (Salim & Simatupang, 2016) (Setiawan & Mimba, 2015) evaluated the Market Reaction to Loan to Value, using event study with significant market reaction to the announcement, namely t-1 day (one day before announcement), t-0 (at the time of announcement) and t + 2 (two days after the announcement). There is no difference in market reaction before and after the announcement of loan to value regulation with a 7-day event period Research of ( (Nasution, 2013), using vector auto regressive analysis technique and macro variable variables research result that is inflation and interest rate influencing consumer who is in the process of repayment of credit housing. As for the demand for new housing loans are affected by LTV policy.

Descriptive Analysis
Descriptive analysis on each variable, described as follows. The stock return has an average of 8.320115, the maximum is 327.0000, and the minimum is 81, with a standard deviation of 32.97821. LTV has an average of 81.98276, maximum 90.00000, minimum 70.00000, with standard deviation of 8.428876. Exchange rate has an average of 9.299129, the maximum is 9.592673, and the minimum is 9.059169, with a standard deviation of 0.170754. GDP has an average of 14.53272, the maximum is 14.75218, and the minimum is 14.09118, with a standard devia-tion of 0.176142. The interest rate has an average of 6.229540, the maximum is 8.210000, and the minimum is 3.830000, with the standard deviation of 0.982052. ROE has an average of 4.047586, a maximum of 15.21000, and a minimum of 7.6, with a standard deviation of 3.083559.  and (Maulida et al., 2010) that the exchange rate has no effect on stock returns.

The effect of GDP to stock return
For the variable of GDP (X3) obtained t value counted -4.179437. Because t count (-4.179437)> -t table (-1,974), then H0 is rejected. Therefore, it can be concluded that GDP (X3) partially has a significant influence of return (Y). The negative regression coefficient of GDP of -95.67974 means for every increase of GDP (X3) of one unit will cause the decrease of Return (Y) equal to 95.67974. The results of this study do not agree with research conducted by (Pratiwi & Hendrawan, 2014), (Lukisto & Anastasia, 2014) which concluded that partially GDP has no effect on stock returns. Differences of research results can be due to factors of periods and objects of research on research that has been done before. In this study the period studied 2009 -2017 with the object of research return LQ45 shares in real estate and property companies. In this condition, although GDP is rising, investors prefer other investment vehicles rather than in sectors such as property and real estate. In addition, the growth in property sector GDP that is still below other sectors also makes investors prefer other sectors alternatives.

The effect of interest rate to stock return
For the variable interest rate (X4) obtained t value counted -1.373394. Because t count (-1.373394) <t table (-1,974), then H0 is accepted. Therefore, it can be concluded that the interest rate (X4) partially has no significant effect Return (Y). The negative interest rate regression coefficient of -4,477,992 means for each interest rate increase (X4) for one unit will cause the decrease of return (Y) equal to 4,477,992. This study is in accordance with the theory expressed, when interest rates rise then the cost of capital will rise and will reduce the profits earned by the company. This will affect the decrease of dividend so that it can affect the investor to sell its shares and will cause the stock return will decrease. Finally, when interest rates rise, investors tend to move their capital from the capital market to the money market.
The results of this study contradict the research conducted by (Nasir & Mirza, 2011), (Lukisto & Anastasia, 2014), (Maulida et al., 2010), which concluded that partially interest rates have an effect on stock returns. But this research is in line with, (Pratiwi & Hendrawan, 2014) and (Anwar & Farida, 2016), that interest rates have no effect on stock returns