Return is the goal of investors to invest in the capital market. Investors do various
ways in order to get the desired return, by conducting their own analysis of the
trading behavior of a stock, or by using the tools that have been provided by
analysts in the capital market with information that can be used as a benchmark
for stock returns. The purpose of this study was to determine the effect of Return
On Assets (ROA), Firm Size, Earning per Share (EPS) and Debt to Equity Ratio
(DER) on Stock Returns in various industrial companies. Various industrial
companies were selected as the population used in this study which are listed on
the IDX for the 2016-2019 period. Consists of 6 sub-sectors, namely automotive,
textile, machinery, electronics, cables and footwear. The population of this study
were 45 companies of various industries. Purposive sampling technique was used
for sampling. Based on this technique, 16 companies were obtained as samples.
The analysis used is multiple linear regression analysis method. Based on the
analysis, it is found that Return On Asset (ROA), Firm Size, Earning Per Share
(EPS) and Debt to Equity Ratio (DER) simultaneously have a significant effect on
stock returns. The partial analysis results show that Firm Size has a significant
negative effect on stock returns, Earning Per Share (EPS) has a significant
positive effect on stock returns. Meanwhile, Return On Asset (ROA) and Debt to
Equity Ratio (DER) have no significant effect on Stock Return.