THE NEW EVIDENCE ON RISK AND PRICE TO BOOK VALUE EFFECTS IN STOCK RETURNS

Indonesia Stock Exchange is one of the institution that play a major role for the economics of Indonesia. Through the capital market, it can be connecting between the parties non-productive to the productives ones. Stock in one of the good investment option with low risk for investors. The agricultural campanies shares have a good prospects in Indonesia Stock Exchange with uniqueness that is defensive or sluggish movement in the market. The stock return of agricultural companies in Indonesia Sotck Exchange have tended to decline in the periode 20090-2015. While the production and exports have increased. This condition become a gap interesting to further study to determine with a contributing factors. Samples is chosen under a purposive sampling thechnique and data are collected by using the method of documentation study of company in agricultural sectors with the sources deriving from financial statements onf companies listed at the Indonesia Stock Exchange for the yearly period of 2009-2015. Data is analysed by using regression linear processed by through the IBM SPSS software of 23.0 version. Output of this study indicates that the risk and price to book value have significant influence as well to the return on shares as simultaneous and partially with price to book value as dominant influence. This study indicates that companies in agricultural sectors shares in Indonesia Stock Exchange have a unique, where high risk to causes lower return on shares. This results indicate the inconsistent with portfolio theory proposed by Markowitz (1952), where high risk high return. Another thing revealed by this study that period of study has been the economic crisis or bearish condition and the impact on stock purchasing power so that stock price more expensive and impact to drastic decrease of return on share. The new evidence to show that risk and price to book value more increasing it will be progressively decrease return on shares and this condition to showing economic decline condition or in economic crisis (bearish).