ABSTRACT
This study aims to examine the effect of total asset turnover (TATO), return on equity (ROE) and earnings per share (EPS) on stock return with trading volume as intervening variables. the population in this study were 43 banking companies listed on the IDX. After purposive sampling, the final sample used was 19 banking companies listed on the IDX in the 2014 - 2017 period. The analysis technique used is multiple linear regression analysis and path analysis with the help of SPSS 23. The results of the determination test (adjusted R2) in this study found that 15.6% of stock return can be explained as total asset turnover (TATO), return on equity (ROE), earnings per share (EPS) and trading volume activity as intevening variables. 84.4% is explained by other variables outside of this research model. The results of the study show simultaneously total asset turnover (TATO), return on equity (ROE), earnings per share (EPS) and trading volume as influential intervening variables significant to stock return. partially total asset turnover (TATO), and earnings per share (EPS) have a significant negative effect on stock return, but retun on equity (ROE) and trading volume activity have a significant positive effect on stock return. The path analysis test results show that trading volume activity cannot mediate the effect of total asset turnover (TATO) on stock return, but can mediate the effect of return on equity (ROE), and earnings per share (EPS) on stock return.

Keywords : Total Asset Turnover, Return On Equity, Earning Per Share, Trading Volume Activity, and Stock Return.