Int. J. Globalisation and Small Business, Vol. 9, No. 1, 2017 3 Copyright © 2017 Inderscience Enterprises Ltd. Factors determining stock returns in property, real estate and construction companies in Indonesia Henny Medyawati* and Muhamad Yunanto Department of Economics, Gunadarma University, Margonda Raya 100, Pondok Cina, Depok, West Java, Indonesia Email: henmedya@staff.gunadarma.ac.id Email: myunanto@staff.gunadarma.ac.id *Corresponding author Abstract: The main reason for investors or potential investors to invest in stocks is to derive maximum returns at minimum risk. One of the many factors determining stock returns from a company’s shares consists of the company’s financial ratios. The better the level of financial performance of the company, greater is the expectation of increase in its stock prices, and larger the benefit (return) from its shares to investors. The purpose of this study is to assess the impact of four factors, namely price-to-book value (PBV), the current ratio, debt-to-equity ratio (DER) and total assets turnover (TATO) on the level of stock returns in property, real estate and building construction firms listed in the Indonesian Stock Exchange for the period 2011–2014. The sample used in this study consisted of 18 companies, selected through the purposive sampling method. Regression analysis of panel data is the analytical tool used. The results have shown that TATO, DER and PBV influence the stock returns significantly. Keywords: current ratio; debt-to-equity ratio; price-to-book value; total assets turnover. Reference to this paper should be made as follows: Medyawati, H. and Yunanto, M. (2017) ‘Factors determining stock returns in property, real estate and construction companies in Indonesia’, Int. J. Globalisation and Small Business, Vol. 9, No. 1, pp.3–19. Biographical notes: Henny Medyawati is an Associate Professor in the field of economics at the Faculty of Economics, Gunadarma University, Depok, Indonesia. Her main research interests include banking, financial management and information system. Muhamad Yunanto is an Associate Professor in the field of economics at the Faculty of Economics, Gunadarma University, Depok, Indonesia. His main research interests include fiscal and monetary policy, economics and financial management. This paper is a revised and expanded version of a paper entitled ‘Leverage Ratio Effect on Stock Return in the Companies Sector of Property, Real Estate and Construction in Indonesia: Panel Data Analysis’, presented at SIBR- Thammasat Conference on Interdisciplinary Business & Economics Research June 2-3, 2016, Bangkok.