Abstract
Stock return is an advantage obtained by investors in stock investment. One sector whose stock returns fluctuate and has a high inventory turnover is the consumer goods industry. The existence of stock return fluctuations is the background of this study which aims to determine the effect of leverage, profitability, firm size and liquidity on stock returns on the consumer goods industry sector companies in the Indonesia Stock Exchange in the 2014-2016 period. The sample used in this study amounted to 33 companies. The method of determining the sample used in this study was purposive sampling method. The data analysis technique used in this study is multiple linear analysis. The results of this study are leverage variables proxied by DER which have a positive and significant effect on stock returns. Profitability proxied by ROE has a positive and insignificant effect on stock returns. Firm size has a positive and significant effect on stock returns. Liquidity which is proxied by QR has a negative and insignificant effect on stock returns.
 Keywords: debt to equity ratio, return on equity, firm size, quick ratio, stock return
Highlights
PENDAHULUAN Konsumsi dan investasi merupakan dua hal yang saling berkaitan karena setiap orang dihadapkan dengan pilihan tersebut
Stock return is an advantage obtained by investors in stock investment
The existence of stock return fluctuations is the background of this study which aims to determine the effect of leverage, profitability, firm size and liquidity on stock returns on the consumer goods industry sector companies in the Indonesia Stock Exchange in the 20142016 period
Summary
Bila dilihat secara rata-rata return saham selama tahun 2014 hingga 2016 yaitu sebesar 4,0202 persen dan standar deviasi nya yaitu sebesar 21,92053. Bila dilihat secara rata-rata DER selama tahun 2014 hingga 2016 yaitu sebesar 60,4625 persen dan standar deviasi nya yaitu sebesar 119,91808. Bentoel International Investama (RMBA) pada tahun 2016 sebesar -22,09 artinya Bila dilihat secara rata-rata ROE selama tahun 2014 hingga 2016 yaitu sebesar 22,0075 dan standar deviasi nya yaitu sebesar 31,81012. Bila dilihat secara rata-rata firm size selama tahun 2014 hingga 2016 yaitu sebesar 14,8246 dan standar deviasi nya yaitu sebesar 1,49929. Analisis regresi linier berganda digunakan untuk mengetahui arah dan besarnya pengaruh DER, ROE, firm size dan QR terhadap return saham pada perusahaan sektor industri barang konsumsi di Bursa Efek Indonesia periode 2014-2016.
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