The Effect of Exchange Rate, Inflation, Gross Domestic Bruto, Return on Assets, and Debt to Equity Ratio on Stock Return in LQ45 Company

ABSTRACT: This study aims to determine the effect of exchange rates, inflation, Gross Domestic Product,Return On Assets, and Debt to Equity Ratio on stock returns.The study uses secondary data in a period of 4years from 2015-2018 in companies that listed in LQ45 Index. The sampling technique used a purposivesampling and the total sample of this research are 26 companies. The analysis method used in this research ismultiple linear regression.The result of this study are (1) Exchange rate has a negative and significant effect onstock returns, (2) Inflation has a negative and not significant effect on stock returns, (3) Gross Domestic Producthas a negative and not significant effect on stock returns, (4) Return on Assets has a positive and not significanteffect on stock returns, (5) Debt to Equity Ratio has a negative and not significant effect on stock returns.

Keyword: Stock Returns, Exchange Rates, Inflation, GDP, ROA, DER