This research aimed to test and analyze about factors influencing stock return in coal mining sub-sector registered in Indonesia stock exchange. The research data were annual data for observation period in years 2011 to 2015 obtained from company’s annual report. The sampling method used was purposive sampling. From 22 companies as population, there were 14 companies which fulfilled as sample. Furthermore, the data analysis method used in this study was panel data regression with Fixed Effect Model with R2 value 66.64%. The research result showed that Price Earning Ration (PER) and Price to Book Value (PBV) influenced positively towards the stock return, meanwhile Return on Asset (ROA), Debt to Equity Ratio (DER), and Current Ratio (CR) did not influence towards the stock return.

Keywords : Price Earning Ratio (PER), Return on Asset (ROA), Price to Book Value (PBV), Debt to Equity Ratio (DER), Current Ratio (CR), Stock Return.