This study used the sample of companies always listed in the Indonesian stock
index LQ45 period of 2002-2012. The purpose of this study is to reexamine the
relationships of size, book value of equity to the market value of equity (BM),
turnover, price, and relative measure of liquidity with excess stock return (RML).
The data was secondary in nature. With Excess stock return as the dependent
variable while size, BM, turnover, price, and RML as independent variable. The
result of this study shows that size gives impact to excess stock return. BM,
turnover, price, and RML has no effect on excess stock returns. Size, BM,
turnover, price, and RML explained the excess stock return changes by 14, 4%.
With size, BM, and turnover have positive effect on excess return. While price,
and RML negative effect of excess return