Penelitian ini bertujuan untuk mengetahui Current Ratio, Return On Equity, Earning Per Share, dan Price Earning Ratio terhadap return saham abnormal. Sampel penelitian ini adalah perusahaan manufaktur sub sektor otomotif dan komponen dengan periode penelitian 2016-2020. Jumlah sampel yang digunakan berjumlah 8 perusahaan dan diperoleh 160 data observasi. Analisis data menggunakan metode statistik. Hasil penelitian menunjukkan Current Ratio dan Return On Equity berpengaruh positif dan tidak signifikan terhadap return saham abnormal. Sementara Price Earning Ratio berpengaruh negatif dan tidak signifikan terhadap return saham abnormal. Hanya Earning Per Share yang memiliki pengaruh positif dan signifikan terhadap return saham abnormal. Hasil penelitian ini sejalan dengan teori sinyal yang menyatakan bahwa peningkatan rasio Earning Per Share dapat meningkatkan return saham abnormal. Implikasi penelitian ini adalah perubahan nilai Earning Per Share berpengaruh terhadap return saham abnormal

This study aimed to determine the Current Ratio, Return On Equity, Earning Per Share, and Price Earning Ratio to abnormal stock return. The sample of this research was the automotive and component sub-sector manufacturing companies with a research period of 2016-2020. The number of samples used was 8 companies and 160 data observation data were obtained. Data analysis using statistical methods. The results showed that the Current Ratio and Return on Equity had a positive and insignificant effect on abnormal stock returns. Meanwhile, the Price Earning Ratio had a negative and insignificant effect on abnormal stock returns. Only Earning Per Share had a positive and significant effect on abnormal stock returns. The results of this study were in line with the signal theory which stated that an increase in the Earning Per Share ratio can increase abnormal stock returns. This research implied that the value of Earning Per Share affects abnormal stock returns.