The Effect of Financial Ratios and Macroeconomics on Stock Return in Infrastructure Sector Ghina Mayliana, Endang Chumaidiyah and Rita Zulbetti Industrial Engineering Telkom University Bandung, Indonesia ghinamay@student.telkomuniversity.ac.id, endangcn@gmail.com, zulbetti@gmail.com Abstract The infrastructure sector is one of the sectors in the Indonesia Stock Exchange. At present, the sector is of concern to the public because infrastructure development is increasing as evidenced by an increased budget every year. Thus, attracting the desire of the community to invest in the sector. However, stock returns in this sector not only increased but also decreased. This study aims to determine the effect of financial ratios and macroeconomics in the Infrastructure sector on stock returns partially and simultaneously. The Secondary data testing to determine the effect partially and simultaneously was done using a panel data regression. Panel data regression results shows one point Debt to Equity Ratio (DER) and Earning per Share (EPS) can reduce stock returns, then one point Return on Equity (ROE) can increase stock returns partially. However, all variables simultaneously have a significant effect on stock returns because of the value of prob (F-statistic) less than 0.05. The conclusion is that six variables significantly influence simultaneously, but only DER, ROE, and EPS have a partially significant effect. That means the macroeconomics in Indonesia doesn’t have a significant impact on stock returns in the sector. Keywords Stock Return, Infrastructure Sector, Panel Data Regression, Financial Ratio, Macroeconomic 1. Introduction The increasing trend of Indonesia Composite Index values indicates the number of good companies in Indonesia with sufficient capital. One of them is the Infrastructure, Utilities, and Transportation sector, which is an indispensable sector in the economic development of a country. The availability of infrastructure can increase productivity and efficiency which results in increased economic growth. Currently, the infrastructure sector gets public interest because in the period of President Jokowi (since 2014) there has been an increase in infrastructure development. The increase in the period is evident from the infrastructure budget that increases each year which reaches 415 Trillion in 2019 (Data obtained from the Ministry of Finance). However, stock returns in this sector has increased and decreased or not always increase. The stock return is the stock investment income, predominantly including stock value changes and cash dividend income of the holding period (Guoying and Ping 2017). The empirical results indicated that stock return has a significant impact on investor sentiment, not converse, and investor sentiment has an asymmetric impact on stock return during the bear market, but the bull market doesn't exist (Li and Junwen 2016). Research in this paper focuses on determining factors that can significantly influence stock return on the Infrastructure, Utilities, and Transportation sector with used panel data regression. That factors are financial ratios and macroeconomic which are independent variables. Infrastructure development and macroeconomic development are interrelated. That is because infrastructure development gives rise to economic multiplier effects and economic expansion raises the need to develop existing infrastructure. Thus, researchers used several external factors from the macroeconomic to find out the actual impact on companies in the Infrastructure, Utilities, and Transportation sectors. The macroeconomic chosen are the exchange rate, inflation, and economic growth. Whereas the financial ratios used are Debt to Equity Ratio (DER), Earning per Share (EPS), and Return on Equity (ROE). In many previous research, the object is a sub-sector or one company, whereas the object of this research is one sector. Thus, investors or companies can understand the effects of financial ratio and macroeconomic on stock returms in one sector, especially the infrastructure sector. This research was made for investors who want to invest in companies of Proceedings of the International Conference on Industrial Engineering and Operations Management Sao Paulo, Brazil, April 5 - 8, 2021 © IEOM Society International 1954