The Role of Company Value as A Mediating Variable in The Relationship Between Systematic Risk, Financial Performance and Financial Distress on Stock Return in The Indonesia Stock Exchange (IDX)

This research aims to determine the effect of Systematic Risk, Financial Performance, and Financial Distress on stock return either partially or simultaneously and to determine the effect of Systematic Risk, Financial Performance, and Financial Distress on stock return through firm value. The object of research is the Property, Real Estate, and Building Construction Sectors that listed on the Indonesia Stock Exchange in 2016 – 2020 for 99 companies. The sample was selected using the purposive sampling method. The number of samples in this study were 53 companies. The panel data estimation method is used a fixed effect model and sobel test. The results of the study are simultaneously Systematic Risk, Financial Performance, and Financial Distress have a significant effect on stock return. Partially, the three independent variables have no significant effect on stock return. Firm value is able to mediate the relationship between Financial Performance and Financial Distress on Stock Return.