This research aims to determine the effect of
liquidity, profitability, capital structure, firm size, and
earning per share on stock return. The population in this
study were infrastructure, utilities and transportation
sectors companies listed on the Indonesia Stock Exchange
in the period 2013 to 2018. The sample was determined
using purposive sampling technique. The data analysis
method used is panel data regression analysis. The
selected model is the Common Effect Model. The results
showed that the liquidity, profitability, capital structure,
firm size, and earning per share simultaneously affect
stock return. Partially it is found that profitability and
earning per share have a positive effect on stock return,
capital structure has a negative effect on stock
return,while liquidity and firm size has no effect on stock
return.
Keywords : Liquidity, Profitability, Capital Structure, Firm Size, Earning Per Share, Stock Return