| This study to analyze the effect of Earning Per Share, Price Earning Ratio, Price to Book Value, Loan to Deposit Ratio and Size on stock returns on National Private Banking companies. The subjects of this study are 36 banking companies listed on the Indonesia Stock Exchange from 2012 until 2016. Sample selection in this study was conducted by random sampling technique so as to set as many as 28 companies. After determining the number of samples, then the secondary data collection techniques which is the data of the company's financial statements from 2012-2016 and sourced from the website www.idx.go.id. The data obtained then analyzed using Eviews 7.0 program, while the analysis method used is panel data regression model. In a panel data regression there are three kinds of approaches (Gujarati, 2012) which consists of a least squares approximation (pooled least square), fixed effects approach (fixed effect), and the approach of random effects (random effect). Based on the selection of the best panel data model, it is known that fixed effect model is better than common effect model or random effect. For that, in answering the formulation of the problem, the results of research refers to the method of fixed effect. These results indicate that the Earning Per Share (EPS), Price Earning Ratio (PER), and Loan to Deposit Ratio (LDR) partially does not have a significant influence on Stock Return. However, Price to Book Value (PBV) and Size proved to have a significant effect on the Stock Return in National Private Banking Companies listed on the IDX period 2012-2016. From the calculation of the F test, it can be concluded that simultaneously Earning Per Share (EPS), Price Earning Ratio (PER), Price to Book Value (PBV), Loan to Deposit Ratio (LDR) and Size have a significant impact on Stock Return of National Private Banking Companies listed in IDX period 2012-2016. |