The Data Paradox in Equity Valuation: A Panel Data Study of IDX Large-Cap Stocks

Joana L. Saragih; Novi Natalia Padang; Romasi Lumban Gaol; Riko Fridolend Sianturi

doi:10.61255/jeemba.v4i5.1739

Authors

Joana L. Saragih Universitas Katolik Santo Thomas Medan, Indonesia
Novi Natalia Padang Universitas Katolik Santo Thomas Medan, Indonesia
Romasi Lumban Gaol Universitas Katolik Santo Thomas Medan, Indonesia
Riko Fridolend Sianturi Universitas Katolik Santo Thomas Medan, Indonesia

DOI:

https://doi.org/10.61255/jeemba.v4i5.1739

Keywords:

Equity Valuation, Data Paradox, Panel Data Regression, Large-Capitalization, Emerging Markets

Abstract

Purpose – This paper empirically investigates the determinants of equity valuation during anomalous macroeconomic periods, focusing on the stock price levels of large-capitalization ("Big Cap") companies listed on the Indonesia Stock Exchange (IDX).

Design/methodology/approach – The research utilizes a panel data regression model on a purposive sample of 16 Big Cap firms over the 2019–2024 period, yielding 96 firm-year observations. The study analyzes the impact of four fundamental variables: Return on Equity (ROE), Current Ratio (CR), Earnings per Share (EPS), and Debt to Equity Ratio (DER).

Finding/Results – The empirical findings reveal a nuanced decoupling effect. Return on Equity (ROE), Current Ratio (CR), and Debt to Equity Ratio (DER) exhibited no statistically significant influence on closing stock prices at the 5% level. Conversely, Earnings per Share (EPS) demonstrated a highly significant positive effect on equity valuation (p = 0.0000).

Originality/Value – Rather than confirming conventional linear relationships, the study highlights a sustained empirical anomaly during the 2019–2024 window where traditional metrics (ROE and CR) lacked predictive power. The paper proposes the "Data Paradox" as a theoretical framework to explain this decoupling, underscoring the need for future models to explicitly test macroeconomic stress interactions in emerging markets.

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