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Therefore, based on the supporting theories and previous studies above, the
first and second hypothesis is developed as follows :
H1: Dividend yield has negative relationship with stock return
H2: Dividend Payout Ratio has positive relationship with stock return
2.3.2 Relations between size and stock return
The size of firm is one of the crucial consideration in determining the total
stock return. There are some previous studies related to the issues of relations between
firm size and stock return.
Hussainey et al., (2011) used firm size as control variable to analyze its impact
on stock return. The finding from his research was there is a negative relationship
between firm size and stock return. This finding is coherent with the other study
which was conducted by Yuningsih & Yudaruddin (2007). They investigated the
impact of three factor models on stock return , by using 26 companies engaged in real
estate and property business, that are listed in Indonesia Stock Exchange during the
period of 2002-2006. The result also showed negative relationship between firm size
and stock return. It means that if there is an increase in size of firm, the it will be
followed by the decrease in stock return.According to Yuningsih & Yudaruddin
(2007), this is because the investors’ characteristic who are doing investment on
stocks in property and real estate industr y are generally prefer to avoid risk
(risk averter). Firm size tend to be ignored for the reason investors prefer to invest
on small companies, which is less risky and more possible to receive higher return.
Thus, the elaboration above lead to the development of the third hypothesis :
H3: Firm size has negative relationship with stock return
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