Abstract

The purpose of this research is to test and analyze empirically the factors that influence stock returns. The object of this research is a food and beverage company that is listed on the Indonesia Stock Exchange for 5 years, the 2016-2020 period. The sample collection method used in this study was purposive sampling. There were 17 companies selected as the final sample that met the criteria and obtained 85 observational data as samples. Data were analyzed using descriptive statistics and panel data regression techniques, with a random effect model to test the hypothesis. The results of this study indicate that return on assets has a positive effect on stock returns. Meanwhile, return on equity, current ratio, debt to equity ratio, price earning ratio, and company size do not affect stock returns.

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