This research aims to figure out the effect of current ratio (CR), return on equity (ROE), net profit margin (NPM), debt to equity ratio (DER) and earning per share (EPS) to stock returns. The object of this study is the pharmaceutical industry listed on the Indonesia Stock Exchange in the period 2013 - 2017. Data were using panel data regression analysis with three approaches - Common Effect model, Fixed Effect model, and Random Effect Model. In selecting the model using Chow test, Haussman test, and Lagrange Multiplier test, the result is Fixed Effect Model that is suitable in this research. The F test results indicate that stock returns is influenced by CR, ROE, NPM, DER, and EPS. The results of the t-test show that CR, ROE, NPM, DER, and EPS have a partial influence on the stock returns of pharmaceutical companies.

Keywords : CR, ROE, NPM, DER, EPS, Stock Returns.