The purpose of this study is to empirically study the effect of accounting variables—liquidityratio, leverage, activity ratio, and profitability ratio—on stock returns of the food and beveragefirms registered between 1999--2005 on Jakarta Stock Exchange (JSX). The data is sampledusing purposive sample judgment method. From 21 firms registered on JSX only 13 are used assamples for this study. The firms included are Asia Inti Sarana, Ades Alfindo Putra Setia, AquaGolden Mississipi, Davomas Abadi, Mayora Indah, Indofood Sukses Makmur, Ultra Jaya Milk,Sinar Mas Agro Resources and Technology, Sari Husada , Cahaya Kalbar, Delta Djakarta, FastFood Indonesia and Tunas Baru Lampung. The result of this study using multiple regressionfinds that only two variables (return on asset and current ratio) that significantly affect thefollowing year stock return with level of significance 5 percent.
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