Abstract :
This research was written in order to find out the relation between
earning per share, price earning ratio, distress risk, firm size and book to market
ratio to stock return of the banking industry. The samples consist of 15 banking
industries from 2004 through 2010 and still listed on IDX.
The selection of samples used purposive judgement sampling method and
data analysis was treated as panel data. The statistic method used to test on the
research hypothesis was panel data regression.
The result showed that the factors that affect significantly to the stock
return were price earning ratio. The other factors such as earning per share,
distress risk, firm size and book to market ratio had no significant relations. But,
the other result of this research showed that earning per share, price earning ratio,
distress risk, firm size and book to market ratio were simultaneously had significant
affect to stock return.
Keywords : Earning per Share, Price Earning Ratio, Distress Risk, Firm Size,
Book to Market Ratio, Return