Moderation Of Percapita Income On Macroeconomic Effects On Stock Return

Abstract

Arbitrage Pricing Theory is a theory that has been tested by various researchers, the majority of the results show a similarity, namely asset pricing can be predicted by looking at macroeconomic indicators. The ever-changing macroeconomy results in investors' profits in making investments also changing, on that basis it is necessary for investors to properly adjust to macroeconomic conditions in making investment decisions. Interestingly, empirically it shows that there are differences in patterns of influence in emerging market countries and in developed countries, this encourages researchers to prioritize the moderating variable, namely per capita income. This study uses macroeconomic data, per capita income, and stock returns in Indonesia during 1998-2020. The results of the study show that with moderation of per capita income there is an increase in the effect of macroeconomics on stock returns. This indicates that investors also need to study the development of per capita income in Indonesia, as an effort to increase optimal returns.