DOI: 10.36347/sjebm.2019.v06i01.006

Pages: 39-47

This study aims to examine and analyze the effect of ROE, EPS, DER, and MS on stock returns on building construction sector companies listed on the Indonesia Stock Exchange. This study uses annual data for the observation period from 2012 to 2016. The type of research is descriptive causality. The data used is panel data which is a combination of annual time series data and cross section processed using panel data regression analysis. The population is building construction companies listed on the Indonesia Stock Exchange in 2012 up to 2016 a number of 5 companies. The sampling technique used purposive sampling, found a sample of 5 companies with a 5-year observation to obtain a total observation of 25. Data were obtained from Sahamok. Data analysis in this study is panel data regression. The model used is Random Effect Model. The results of the analysis show that ROE and MS have positive significant effect; EPS has negative significant effect, while DER has negative not significant effect on stock returns of the building construction sector stock returns on the Indonesia Stock Exchange for the period 2012-2016.