INTISARI Untuk memperoleh return yang tinggi, seorang investor harus dapat menganalisa laporan keuangan perusahaan dengan baik sehingga mempermudah dalam pengambilan keputusan. Dari laporan keuangan tersebut diperoleh informasi tentang kinerja keuangan suatu perusahaan dan dapat digunakan sebagai dasar penilaian untuk memilih saham-saham perusahaan yang mampu memberiakan tingkat pengembalian (return) yang tinggi. Penelitian ini bertujuan untuk menguji pengaruh likuiditas, solvabilitas, profitabilitas, rasio pasar dan kebijakan dividen terhadap return saham pada perusahaan property dan real estate yang terdaftar di Bursa Efek Indonesia. Jenis penelitian yang digunakan adalah kuantitatif. Populasi yang digunakan dalam penelitian adalah semua perusahaan property dan real estate yang terdaftar di Bursa Efek Indonesia tahun 2011-2014. Teknik pengambilan sampel menggunakan purposive sampling, sehingga didapatkan sampel sebanyak 18 perusahaan Property dan Real Estate yang terdaftar di Bursa Efek Indonesia tahun 2011-2014. Teknik analisis data menggunakan regresi linier berganda dan pengujian hipotesis menggunakan SPSS versi 20. Berdasarkan hasil pengujian hipotesis menunjukkan bahwa: 1) Current Ratio tidak berpengaruh signifikan terhadap return saham karena perusahaan property dan real estate selama periode 2011-2014 dalam keadaan tidak likuid. 2) Debt to Equity Ratio berpengaruh negatif dan signifikan terhadap return saham, karena penggunaan hutang yang tinggi dapat mengakibatkan kerugian karena adanya beban bunga yang harus dibayarkan, sehingga dapat mengakibatkan return saham menurun. 3) Return on Asset dan Return on Equity berpengaruh positif dan signifikan terhadap return saham, karena kedua rasio profitabilitas tersebut menunjukkan peningkatan setiap tahun. Semakin tinggi keuntungan yang dihasilkan perusahaan, maka dapat meningkatkan return saham. 4) Earning per Share berpengaruh positif signifikan terhadap return saham, karena laba bersih perusahaan yang siap dibagikan ke semua pemegang saham perusahaan cenderung mengalami kenaikan. 5) Devidend Payout Ratio tidak berpengaruh signifikan terhadap return saham karena profit yang dihasilkan belum tentu dapat diterima secara langsung oleh investor, profit tersebut dapat digunakan untuk penambahan aset perusahaan agar perusahaan lebih berkembang. Kata kunci: Likuiditas, Solvabilitas, Profitabilitas, Kebijakan Dividen dan Return Saham. xvi ABSTRACT In order to gain high return, an investor has to be able to analyze the financial statement of the company thoroughly so that it will ease the investor to make a decision. Information about the financial performance of the company can be obtained from the financial statement and it can be used as the basis of assessment to select company stocks which can give high rate of return. This research is meant to examine the influence of liquidity, solvency, profitability, and market ratio and dividend policy to the stock return of property and real estate companies which are listed in Indonesia Stock Exchange. This researchis quantitative. The population is property and real estate companies which are listed in Indonesia Stock Exchange in 2011-2014 periods. The sample collection technique has been conducted by using purposive sampling, so that 18 property and real estate companies which are listed in Indonesia Stock Exchange in 2011-2014 periods have been selected as samples. The data analysis technique has been carried out by using multiple linear regressions and hypothesis test has been done by using SPSS 20 version. Based on the result of hypothesis test,it shows that: (1) current ratio does not have any significant influence to the stock return because property and real estate companies in 2011-2014 periods is not in the liquid state; 2) Debt to Equity ratio give significant and negative influence to the stock return, because the high use of debt will make loss since there is interest whichhave to be paid so that it will make stock return decrease. 3) Return on Asset and Return on Equity gives significant and positive influence to the stock return because these profitability ratios showimprovement every years. When the profit which is generated by the company is getting high, it will increase stock return. 4) Earnings per Share gives significant and positive influence to the stock return, because the net profit of the company which is ready to share to the stockholders is tend to increase as well. 5) Dividend Payout Ratio does not give any significant influence to the stock return because the profit which has beengenerated cannot be acceptedimmediatelyby the investors, this profit can be used for the addition of company assets in order to expand the company. Keywords: Liquidity, solvability, dividend policy and stock return. xvii