| The purpose of investors to invest in the capital market is to get a greater a rate of return than that obtained from a risk-free investments such as savings accounts or deposits. Because the risk is greater in the capital market, investors need a performance measurement tool that can assist them in making investment decisions. This study purpose is to examine the effect of fundamental measurements: Price Earnings Ratio and Return On Equity, and also value based measurements: Cash Value Added and Market Value Added on companies stock returns. Samples used in this research are 11 food and beverage companies that listed in Indonesian Stock Exchange from 2010-2013, with 44 number of observations. This study used a panel data model in E-views 7.0. The test result shows that simultaneously fundamental measurements and value based measurements have significant relationship to stock returns. But partially, only Price Earnings Ratio and Market Value Added that have a significant relationship to stock returns. |