This research aims to determine the effect of liquidity, profitability, capital structure, firm size, and earning per share on stock return. The population in this study were infrastructure, utilities and transportation sectors companies listed on the Indonesia Stock Exchange in the period 2013 to 2018. The sample was determined using purposive sampling technique. The data analysis method used is panel data regression analysis. The selected model is the Common Effect Model. The results showed that the liquidity, profitability, capital structure, firm size, and earning per share simultaneously affect stock return. Partially it is found that profitability and earning per share have a positive effect on stock return, capital structure has a negative effect on stock return,while liquidity and firm size has no effect on stock return.

Keywords : Liquidity, Profitability, Capital Structure, Firm Size, Earning Per Share, Stock Return