ANALYSIS OF THE EFFECT OF LIQUIDITY, SOLVABILITY, ACTIVITY AND PROFITABILITY ON STOCK RETURNStudy of Property, Real Estate and Building Construction Companies Listed on the Indonesia Stock Exchange 2014-2018

ABSTRACT This study aims to determine the effect of liquidity, solvency, activity, and profitability on stock returns in property, real estate and building construction companies listed on the Indonesia Stock Exchange in 2014-2018. The population in this study were all property, real estate and building construction companies in Indonesia. After sampling with a purposive sampling method, 25 samples were obtained. Furthermore, the data were analyzed using multiple regression analysis of panel data using the Eviews application version 10. After collecting and analyzing data, the results of the research on hypothesis testing prove that: (i) positive liquidity (CR) has a significant effect on stock returns, (ii) negative solvency (DER) does not have a significant effect on stock returns, (iii) Activity (TATO) negative has no significant effect on stock returns, and (iv) positive profitability (ROE) has a significant effect on stock returns.