This research aims to examine and analyze the effect of liquidity ratios, solvency, activity, profitability and market value on the structure of stock returns in consumer non cyclicals sector companies listed on the Indonesia Stock Exchange. This study uses annual data for the observation period from 2015 to 2020. The data is processed using a path analysis approach. The data used is panel data which is a combination of annual time series and cross section data processed using the EViews 10 program. The population is all consumer non cyclicals companies listed on the Indonesia Stock Exchange from 2015 to 2020, totaling 57 companies. The sampling technique used purposive sampling, found a sample of 38 companies with 6 years of observation in order to obtain a total of 228 observations. Data obtained from the Indonesia Stock Exchange. The data analysis in this study was panel data regression. The model used is the Fixed Effect Model. The results of the analysis show that solvency, activity, profitability and market value have a positive effect, while liquidity have no effect on stock returns in the Consumer Non Cyclicals sector companies on the Indonesia Stock Exchange.

Keywords : Liquidity ratio, Solvency, Activity, Profitability, Market Value and Stock Returns.