Pеngaruh Risiko Inflasi, Risiko Suku Bunga, Risiko Valuta Asing, dan Profitabilitas terhadap Return Saham

This study analyzеs thе еffеct of inflation risk, interest rate risk, foreign exchange risk, and profitability of stock return from January 2012 to December 2016 by using regresi linier berganda. The result of the research show that; inflation risk has insignificant influence with the direction of positive relationship to stock return. Interest rate risk has insignificant effect on stock return with positive relationship direction. Foreign exchange risk has a non-siginfikan effect on stock return with the direction of a negative relationship. ROA profitability has no significant effect on stock return with positive relationship direction. Inflation Risk, Interest Rate Risk, Foreign Exchange Risk, and Profitability have a significant influence on stock return with positive relationship direction. Inflation risk and return indicates inflation does not cause price changes in production costs. Interest rate risk and return shows the lack of attractiveness of the change from BI rate as controlling the money supply makes investors not move their investment in the form of savings or deposits. Foreign exchange risk and return indicates if the rupiah weakens, the company's foreign debt will also be higher, so the profitability of the company also decreases. ROA and return indicates that ROA can reflect the corporate profit. Kеywords: Risk of Inflation, Interest Rate Risk, Foreign Exchange Risk, Profitability, Stock Retur