Tujuan penelitian ini adalah untuk mengetahui bukti empiris mengenai Pengaruh Economic Value Added, Debt to Equity Ratio, Earning Per share, Market Value Added, Price Earning Ratio dan Price to Book Value terhadap Return Saham pada perusahaan LQ 45 di BEI periode 2013-2017. Populasi penelitian ini adalah perusahaan LQ 45 yang terdaftar di Bursa Efek Indonesia yang mempublikasikan laporan keuangan (laporan tahunan) selama periode 2013-2017, dengan teknik pengambilan sampel menggunakan metode purposive sampling dengan jumlah sampel sebanyak 26 perusahaan. Untuk pengujian instrumen menggunakan uji Asumsi Klasik, sedangkan teknik analisis data yang digunakan untuk mengetahui hipotesis adalah menggunakan regresi linier berganda dengan menggunakan uji parsial (T), uji simultan (F) dan uji koefisien determinasi (R2). Berdasarkan hasil penelitian menunjukkan bahwa secara parsial variabel Economic Value Added berpengaruh signifikan terhadap return saham, Debt to Equity Ratio berpengaruh signifikan terhadap return saham, Earning Per Share berpengaruh tidak signifikan terhadap return saham, Market Value Added berpengaruh tidak signifikan terhadap return saham, Price Earning Ratio berpengaruh signifikan terhadap return saham dan Price to Book Value berpengaruh tidak signifikan terhadap return saham pada perusahaan LQ45 di BEI periode 2013-2017. Sedangkan secara simultan variabel Economic Value Added, Debt to Equity Ratio, Earning Per Share, Market Value Added, Price Earning Ratio, dan Price to Book Value berpengaruh signifikan terhadap return saham pada perusahaan LQ 45 di BEI periode 2013-2017. Uji koefisien determinasi (R2) pada penelitian ini adalah 13,6%. Kata Kunci :Economic Value Added (EVA), Debt to Equity Ratio (DER), Earning Per share (EPS), Market Value Added (MVA), Price Earning Ratio(PER), Price to Book Value (PBV) dan Return Saham.

The purpose of this study was to find out empirical evidence regarding the effect of Economic Value Added, Debt to Equity Ratio, Earning Per Share, Market Value Added, Price Earning Ratio and Price to Book Value on Stock Returns on LQ 45 companies on the Stock Exchange in the period 2013-2017. The population of this study is LQ 45 companies listed on the Indonesia Stock Exchange that publish financial reports (annual reports) during the period 2013-2017, with the sampling technique using purposive sampling method with a total sample of 26 companies. For testing the instrument using the Classical Assumption test, while the data analysis technique used to determine the hypothesis is to use multiple linear regression using partial test (T), simultaneous test (F) and test the coefficient of determination (R2). Based on the results of the study, the variable Economic Value Added partially has a significant effect on stock returns, Debt to Equity Ratio has a significant effect on stock returns, Earning Per Share has no significant effect on stock returns, Market Value Added has no significant effect on stock returns, Price Earning Ratio significant effect on stock returns and Price to Book Value has no significant effect on stock returns in LQ 45 companies on the IDX for the period 2013-2017. While simultaneously the variables of Economic Value Added, Debt to Equity Ratio, Earning Per Share, Market Value Added, Price Earning Ratio, and Price to Book Value have a significant effect on stock returns in LQ 45 companies on the IDX for the period 2013-2017. Test coefficient of determination (R2) in this study was 13.6%. Keywords : Economic Value Added (EVA), Debt to Equity Ratio (DER), Earning Per share (EPS), Market Value Added (MVA), Price EarningRatio(PER), Price to Book Value (PBV) and Stock Return.

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