This research examines the influence of factors are there - the company's fundamentals on stock returns LQ 45 firms listed on the Stock Exchange in the period 2007 to 2011, while several fundamental factors tested in the study is the Current Ratio, Debt of Equity Ratio, Return Of Asset, return Of Equity, dividend per share and Earnings Per Share. This study uses the secondary data that the financial statements of listed companies in LQ 45, and recorded in the IDX period 2007-2011. The population in this study are all companies listed on the Stock Exchange, while to take a sample of all companies listed on the LQ 45 by 90 companies. The method used in the study is the classical assumption (normality) and multiple linear regression methods. Conclusions in this study were all factors - the company's fundamentals are not significantly affect the stock return variables except ROA. ROA significantly influence on stock returns, is the greater the company's ROA acquired company's stock returns will increase.
Keywords : Fundamental Factors, Return Stock, Index LQ45
