THE INFLUENCE OF CHANGE OF ACCOUNTING EARNING, LEVERAGE, AND CASH FLOW TO STOCK RETURN EMPIRICAL STUDY ON CONSUMER GOODS INDUSTRY COMPANY LISTED IN INDONESIA STOCK EXCHANGE FROM 2010-2012

Abstract

The objective of this research is to analyze the influence of some information in the financial statement that are change of accounting earning, leverage and cash flow toward stock return on consumer goods industry company that listed in Indonesia Stock Exchange for period 2010-2012. This research uses quantitative approach. Type of data is secondary data that can be accessed from www.idx.co.id. The population of this research is company on consumer goods industry that listed in Indonesia Stock Exchange for period 2010-2012 and uses purposive sampling method to determine the sample. This research uses multiple linear regressions as analysis data method. The result of this research shows that change of earning, leverage, operating cash flow, investing cash flow, and financing cash flow influence stock return simultaneously. But in partially, they give different influence with significance value 0.05 (α=5%). Change of accounting earning has positive and significant influence to stock return. Change of financing cash flow has negative and significant influence to stock return. Meanwhile changes of leverage, operating cash flow and investing cash flow have positive but not significant influence to stock return. The independent variables variation explains 38.4% of stock return as dependent variable whereas 61.6% is explained by variables that are not included in the model.