THE EFFECT OF PROFITABILITY, SOLVABILITY, LIQUIDITY, AND FIRM SIZE ON STOCK RETURNS (EMPIRICAL STUDIES ON PROPERTY, REAL ESTATE, AND BUILDING CONSTRUCTION COMPANIES LISTED ON THE INDONESIA STOCK EXCHANGE FOR THE PERIOD 2014-2017)

Abstract

This study aims to determine whether profitability, leverage, liquidity, and firm size affect stock
returns in the Property, Real Estate, and Building Construction Sub-Sector Companies for the period
of 2014-2017.The factors tested in this study are profitability, leverage, liquidity, and firm size as
independent variables, while stock returns as the dependent variable.The research method used in
this research is explanatory method.The population in this study was the property, real estate, and
building construction sub-sector companies for the period of 2014-2017, total of 73 companies.The
sampling technique used in this study was non-probability sampling with a purposive sampling
method, so that the total sample used is 25 companies.While the data analysis used in this study is
multiple linear regression analysis at a significance level of 5%.The program used in analyzing data
is Eviews 9.The results showed that profitability and leverage had an effect on stock returns, while
liquidity and firm size had no effect on stock returns.