The Effect of EVA and MVA on Stock Return with Firm Size as a Moderating Variable in Consumer Cyclicals Sector Companies Listed on the Indonesia Stock Exchange Period 2021-2024
Siti Mahmudah*
Unggul Purwohedi
Etty Gurendrawati
Financial performance signals are critical for investment decisions, yet prior evidence on Economic Value Added (EVA) and Market Value Added (MVA) remains inconsistent. This study examines the effect of EVA and MVA on stock returns and the moderating role of firm size in consumer cyclicals companies listed on the Indonesia Stock Exchange during 2021-2024. This study uses a quantitative approach with secondary data from financial reports and capital market data of consumer cyclicals companies listed on the Indonesia Stock Exchange (2021-2024). Data were analyzed using panel data regression, with the Random Effect Model (REM) selected as the best fit based on the Chow, Hausman, and Lagrange Multiplier tests. Firm size's moderating effect was tested using MRA at a 5% significance level. The results show that EVA has a negative and significant effect on stock returns (coefficient = −0.005660; probability = 0.0000). Firm size has a positive and significant effect on stock returns (coefficient = 0.053414; probability = 0.0141). The interaction between EVA and firm size is significant (coefficient = −0.001527; probability = 0.0400), indicating that firm size significantly moderates the EVA–stock return relationship. Conversely, MVA and its interaction with firm size show no significant effect on stock returns. In conclusion, EVA significantly and negatively affects stock returns, MVA has no effect, and firm size positively and directly affects stock returns while weakening the signaling role of EVA, without moderating MVA's effect.
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