ABSTRAK
Penelitian ini dilakukan untuk menganalisa pengaruh earnings terhadap stockreturns pada perusahan yang terdaftar di Bursa Efek Indonesia periode 2006-2012. Sampel yang digunakan adalah 104 perusahaan. Earnings dalam penelitianini diproksi dengan Earnings Per Share (EPS) dan stock returns diproksi denganperubahan harga saham. Dalam menganalisis penelitian ini digunakan empatmodel penelitian, yaitu Price Model, Return Model, Differenced Model, danDeflated Model. Penelitian ini membagi periode waktu menjadi dua bagian, yaitusebelum dan setelah terjadinya krisis ekonomi global. Hasil penelitianmenunjukkan bahwa earnings berpengaruh terhadap stock returns. Dari empatmodel penelitian yang digunakan, Price Model merupakan model penelitian yangpaling mampu menjelaskan pengaruh earnings terhadap stock returns

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ABSTRACT
This study was conducted to analyze the effect of earnings on stock returns at thecompanies listed in Indonesia Stock Exchange 2006-2012 period. The samplesused were 104 companies. The earnings in this study proxy by earnings per share(EPS) and stock returns proxy by stock price changes. In analyzing this researchstudy used four models, namely Model Price, Return Model, Differenced model,and Deflated Model. This study divides the time period into two parts, there werebefore and after the global economic crisis. The results showed that earningsaffect stock returns. From the four models used in this study, the Price Model isthe most capable research model explaining the effect of earnings on stockreturns