Tujuan penelitian untuk menganalisis pengaruh Return On Asset (ROA), Economic Value Added (EVA), Market Value Added (MVA), Likuiditas Saham, Kesempatan Bertumbuh Perusahaan, Idiosyncratic Risk, Suku Bunga dan Kurs terhadap Return Saham perusahaan sektor consumer goods yang terdaftar di Bursa Efek Indonesia periode 2012-2017. Variabel dependen dalam penelitian ini Return Saham, sedangkan variabel independen meliputi Return On Asset (ROA), Economic Value Added (EVA), Market Value Added (MVA), Likuiditas Saham, Kesempatan Bertumbuh Perusahaan, Idiosyncratic Risk, Suku Bunga dan Kurs. Penelitian ini termasuk penelitian kausalitas dan data yang digunakan adalah data sekunder yang diperoleh melalui website resmi Yahoo Finance, SahamOK, Bank Indonesia dan Bursa Efek Indonesia. Penelitian ini menggunakan rasio perubahan setiap tahun sehingga mendapatkan jumlah sampel sebanyak 139. Penelitian ini menggunakan metode analisis regresi linier berganda. Hasil studi menunjukkan bahwa Return On Asset (ROA), Economic Value Added (EVA), Market Value Added (MVA), Likuiditas Saham, Kesempatan Bertumbuh Perusahaan, dan Suku Bunga tidak berpengaruh terjadap Return Saham. Sementara Idiosyncratic Risk berpengaruh positif terhadap Return Saham, sedangkan Kurs berpengaruh negatif terhadap Return Saham. Kemudian semua variabel independent secara simultan berpengaruh terhadap Return Saham dengan nilai Adjusted R Square 0,114 yang berarti bahwa pergerakan return saham dipengaruhi oleh 11% oleh varibel dalam penelitian ini dan 89% dijelaskan oleh variabel diluar penelitian.

Kata kunci : Idiosyncratic Risk, Kurs, Return Saham

This purpose of this research to analyze the effect of the Return On Asset (ROA), Economic Value Added (EVA), Market Value Added (MVA), Stock Liquidity, growth opportunities, Idiosyncratic risk, Interest Rate, and Exchange Rate on Stock Returns of consumer goods sector companies period 2012-2017. The dependent variable in this research is Stock Returns, while the independent variables include the Return On Asset (ROA), Economic Value Added (EVA), Market Value Added (MVA), Stock Liquidity, Growth Opportunities, Idiosyncratic Risk, Interest Rate, and Exchange Rate. The research includes causality research and this type of data is secondary data obtained from yahoo finance, SahamOk, Bank of Indonesia, and Indonesia Stock Exchange. This study uses the ratio of changes every years to obtain the sample number is 139. This research use multiplier linier regression analysis method. The result of this research that Return On Asset (ROA), Economic Value Added (EVA), Market Value Added (MVA), Stock Liquidity, Growth Opportunities, and Interest Rate have no effect to Stock Returns. Meanwhile Idiosyncratic Risk has a significant positive effect on the Stock Returns and Exchange Rate have a significant negative effect on the Stock Returns. Then all independent variables are simultaneously have effect on Stock Returns. The adjusted R square value 0,114 which means that the movement of Stock Return influenced 11% by the variables on this study and 89% is explained by variables outside this research.

Keywords : Exchange Rate, Idiosyncratic Risk, Stock Returns