THE EFFECT OF RETURN ON EQUITY, DIVIDEND YIELD, PRICE EARNING RATIO, EARNING PER SHARE, AND FIRM SIZE ON STOCK RETURN ON LQ45 SHARES IN INDONESIA STOCK EXCHANGE

One investment that can be used as an investment tool is shares in the Indonesian capital market. In investing in the capital market, it is necessary for investors to analyze the company, one of the ways is by fundamental analysis, so that investors understand the company's future prospects. One of the indices in the Indonesian capital market that investors can refer to is the LQ45 Index. The LQ45 Index is an index that measures the price performance of 45 stocks that have high liquidity and large market capitalization and are supported by good fundamental companies.This study aims to analyze the effect of Return on Equity, Dividend Yield, Price Earning Ratio, Earning per Share, and Firm Size on Stock Return on LQ45 stocks. Companies that are the research sample must meet the following criteria: Non-banking companies listed on the IDX, non-banking companies actively trading their shares in the 2014-2018 period, companies that have positive net income (NI), companies that have a dividend yield “0”, companies that have a Stock Return value below + - 100%. This study uses quantitative methods and data processing using SPSS with cross section data.The results showed that there are two variables accepted : Price Earning Ratio has a negative and significant effect on Stock Return with a standardized coefficients beta of 0.215 and a t sig value of 0.013; Firm Size has a positive and significant effect on Stock Return with a standardized coefficients beta value of -0.213 and a t sig value of 0.006, and 3 variables are rejected : Return on Equity has a positive but not significant effect on Stock Return with a standardized coefficients beta value of 0.003 and a t sig value of 0.969 ; Dividend Yield has a positive but not significant effect on Stock Return with a standardized coefficients beta value of 0.038 and a t sig value of 0.626; Earning per Share has a positive but insignificant effect on Stock Return with a standardized coefficients beta of 0.003 and a t sig value of 0.970.