Unveiling the Drivers of Stock Prices: The Mediating Role of Intrinsic Value in Indonesia's Consumer Non-cyclical Sector

Abstract

Aims: This study examines how profitability, leverage, liquidity, and asset efficiency affect stock prices, and whether intrinsic value mediates these relationships in non-cyclical consumer sector companies listed on the Indonesia Stock Exchange (IDX). Study Design: A quantitative, causal method is employed, using panel data regression models (Fixed Effects and Random Effects) and the Sobel test to assess mediation. Company size is included as a control variable. Place and Duration of Study: The study covers non-cyclical consumer sector companies listed on the IDX during 2019–2023. Methodology: Data are sourced from company financial reports and stock price records. Using purposive sampling, 121 companies were selected, yielding 474 unbalanced panel observations. The analysis applies Fixed Effects and Random Effects panel data models using STATA. Results: Profitability, liquidity, and asset efficiency significantly and positively influence stock prices, while leverage shows no significant effect. Intrinsic value does not mediate the impact of these variables on stock prices. However, leverage and profitability are found to enhance intrinsic value. With a coefficient of determination R2 of 20% in Model 1, financial variables account for a significant amount of the variation in intrinsic value. However, Model 2 R2 is only 2.73%, indicating that market sentiment or outside influences have a greater impact on stock prices than the internal financial indicators under study. According to these results, some of the hypotheses that were put forth lacked empirical backing. Conclusion: Stock prices in this sector are more influenced by financial performance and market sentiment than by intrinsic valuation. Therefore, management should focus on improving key financial indicators. Investors are advised to use financial ratios as primary tools in making investment decisions in this defensive sector.