<![CDATA[The goal is the reseach is to determine the effect of firm size and profitability as well as total assets turnover of companies in the sector of Consumer Goods Industry Listed In Indonesia Sharia Shares Index (ISSI) partially or simultaneously. The method of research used is the quantitative approach. The sample of the research is are 13 companies registered in Indonesia Sharia Shares Index (ISSI) that meet the criteria of purposive sampling. The analysis technique used best estimation model by Random Effect Model (REM). The result of the partial test shows that firm size, profitability variable and total asset of turnover is influenced simultaneously and significantly in stock return concerning the policy of consumer goods industry sector listed in Sharia Shares Index. Further, some of the firm size variable have significantly positive influence. In the contrary, the profitability and the total asset turnover have a negative influence and insignificant effect concerning stock return of consumer goods industry sector listed in Sharia Shares Index from 2012 to 2016 periodKeywords: Firm Size, Profitability, Total Assets Turnover, Return SahamREFERENCESAl-Qur’an Kementrian Agama RI . 2013. Jakarta:Penerbit Wali dan Mikraj hasanah Ilmu. Gujarati, Damodar, 2003, Basic Econometrics, The Mc Graw-Hill CompaniesHeykal, Nuhammad. 2012. Tuntutan dan Aplikasi Investasi Syariah. Jakarta: Elex Media KomputindoJogiyanto. 2008. Teori Portofolio dan Analisis Investasi. Edisi Ketujuh. Yogyakarta : BPFE-UGMKasmir, 2015. Analisis Laporan Keuangan. Jakarta : Raja Grafindo PersadaRianti Syahputri. 2015. Pengaruh ROA, NPM, EPS terhadap Return pada emiten Jakarta Islamic Index tahun 2010-2013. JESST vol. 2 No.4 April 2015.Universitas Airlangga Surabaya Roslianti, Riskary. 2014. Pengaruh Kinerja keuangan Terhadap Return Saham (Studi pada emiten saham syariah sektor manufaktur yang terdaftar di Indeks saham Syariah Indonesia 2011-2012. JESST vol.1 7 Juli 2014 Universitas Airlangga Surabaya.Ryandono, Muhamad Nafik H. 2009. Bursa Efek dan Investasi Syariah. Jakarta:Serambi.Widarjono, Agus. 2013. Analisis Statistika Multivariat Terapan Yogyakarta: UPP STIM YKPN.]]>
