ANALISIS PENGARUH RASIO LIKUIDITAS, LEVERAGE, AKTIVITAS, DAN PROFITABILITAS TERHADAP RETURN SAHAM (STUDI PADA PERUSAHAAN MAKANAN DAN MINUMAN DENGAN KATEGORI INDUSTRI BARANG KONSUMSI DI BEJ)

Abstract

The purpose of this study is to empirically study the effect of accounting variables—liquidity
ratio, leverage, activity ratio, and profitability ratio—on stock returns of the food and beverage
firms registered between 1999--2005 on Jakarta Stock Exchange (JSX). The data is sampled
using purposive sample judgment method. From 21 firms registered on JSX only 13 are used as
samples for this study. The firms included are Asia Inti Sarana, Ades Alfindo Putra Setia, Aqua
Golden Mississipi, Davomas Abadi, Mayora Indah, Indofood Sukses Makmur, Ultra Jaya Milk,
Sinar Mas Agro Resources and Technology, Sari Husada , Cahaya Kalbar, Delta Djakarta, Fast
Food Indonesia and Tunas Baru Lampung. The result of this study using multiple regression
finds that only two variables (return on asset and current ratio) that significantly affect the
following year stock return with level of significance 5 percent.