THE EFFECT OF COMPANY FINANCIAL PERFORMANCE AND MACROECONOMIC VARIABLES ON STOCK RETURNS IN PROPERTY AND REAL ESTATE SECTORS IN INDONESIA STOCK EXCHANGE

This study aims to determine the effect of company financial performance and macroeconomic variable on stock return of the Property and Real Estate companies listed on Indonesia Stock Exchange. There are five variables tested: Debt to Equity Ratio, Price to Book Value, Net Profit Margin, and Inflation and Interest Rate. The population of this study is sector of property and Real Estate listed on Indonesia Stock Exchange period 2014-2017. The numbers of samples are 26 companies. This study uses Multiple Linear Regression analysis and purposive sampling method. The results of this study found that Debt to Equity Ratio, Price to Book Value, Net Profit Margin, Inflation, and Interest Rate have a significant influence on stock return. Based on partial testing (t test) found that the Price to Book Value and Interest Rate have a positive and significant effect on stock return, while Debt to Equity Ratio, Net Profit Margin, and inflation have no significant effect on stock returns. KEY WORDS Stock return, debt to equity ratio, price to book value, net profit margin, inflation, interest rate.