This research was performed to examine the influence of financial ratio to stock return by companies that include in LQ-45 index from 2009 to 2013 periods. Financial ratio in this research intersects in four independent variables, such as leverage measured by DER, profitability measured by ROE, efficiency measured by inventory turn over , and liquidity measured by current ratio.
Analyze technique used for this reaserch is multiple linier regression. Data used in this reaserch were obtained from companies financial report. The number of sample for this reaserch is 12 companies that include in LQ-45 index
This reaserch has been analyzed with Eviews 7 program, and during the significance test it indicated that common effect was the most appropriate method. The result of this reaserch shows that leverage have a negative and significant effect to stock return, profitability have positive and significant effect to stock return , efficiency have positive but no signifficant effect to stock return and liquidity have negative but no signifficant effect to stock return.
Keyword: Stock Return, Leverage, Profitability, Liquidity, Efficiency.