THE EFFECT OF FINANCIAL PERFORMANCE ON STOCK RETURN AT MANUFACTURING COMPANY OF INDONESIA STOCK EXCHANGE

ABSTRACT The purpose of this study is to find out the effect of return on investment, earning per share, operational cash flow, economic value added, and market value added towards the stock return at manufacturing companies in Indonesia Stock Exchange. The population of this study was the all manufacturing industry registered at Indonesia Stock Exchange which was studied from 2005 to 2011. The method used to determine samples was using purposive sampling method with some fixed criteria with the total number of 11 samples of manufacture companies. The data used was secondary data which was obtained Indonesia Stock Exchange (www.idx.co.id) and also from Indonesia Capital Market Directory from 2005 up to 2010. To answer the problems of the study and to test the research hypothesis, multiple regression was used together with the application of Statistical Product and Service Solutions (SPSS). The result of this study shows that 1) Return on investment has insignificant influence towards stock return, 2) Earning per share insignificant influence towards stock return, 3) Operational cash flow has a negative and significant influence towards stock return, 4) EVA has a positive and significant influence towards stock, 5) MVA has insignificant influence towards stock. The result showed that the Economic value added and Operational cash flow has a significant towards stock return. Therefore, Economic value added and Operational cash flow should be become consideration substance for investor in making stock investment decision. The insignificant of Return on investment, Earning per share, and Market value added towards stock return, can be a suggestion to do more research with longer duration of observation and also included all sectors in Indonesia Stock Exchange. KEY WORDS Return on investment, earning per share, operational cash flow, economic value added, market value added, stock return.