Pengaruh Return on Equity, Debt to Equity Ratio, Kebijakan Dividen dan Nilai Perusahaan Terhadap Return Saham

Stock return has an important role to firm sustainability. One of the indicators of appraising how good or bad the performance in a certain company is stock return. This study aimed to determine the effect of return on equity, debt to equity ratio, dividend policy and firm value toward stock return. In this research dividend policy is proxy by dividend payout ratio (DPR) and firm value is proxy by price to book value (PBV). The population used are manufacturing companies listed in Indonesia Stock Exchange 2013-2015 period which amount 134 companies. Sampling technique used is purposive sampling and obtained by amount as much 24 companies. Analysis technique used is multiple linear regression analysis with SPSS version 22. Hypothesis test use t-statistic to test coefficient of regression partial and also F-statistic to test the truth of collectively influence in level of significance 5%. This research also done a classic assumption test covering normality test, multicolinierity test, autocorrelation test and heteroscedastisity test. The result of study shown that: (1) return on equity (ROE) has positive and significant effect on stock return, (2) debt to equity ratio (DER) has negative and significant effect on stock return, (3) dividend payout ratio (DPR) hasn't effect on stock return, (4) price to book value (PBV) has a negative and significant effect on stock return. Based on the simultaneous testing result can be known that the variable of the return on equity (ROE), debt to equity ratio (DER), dividend payout ratio (DPR) and price to book value (PBV) have a significant impact toward stock return. Based on the value of adjusted R², it show that the contribution of variable retun on equity (ROE), debt to equity ratio (DER), dividend payout ratio (DPR) and price to book value (PBV) can be explain by stock return is 28,1%.