In the last few years, state-owned enterprises start to sell their stocks to public. Company profitability in fundamental analysis usually measure by financial ratio. Macro variable can also be used to measure company performance .This research is to observe ROA, ROE, DER and Inflation variable against stock price changes of state owned company enterprises BUMN that listed in Indonesia stock market for period year 2009 – 2014. This research is using 15 state-owned enterprises as a sample that listed from year 2009 up to year 2014. Test with pooled least square analysis is done after random analyse and fixed effect model. The supporting program used in this research is Eviews version 8. The test result is showing that ROA, ROE, DER and Inflation variable is effect to the stock price changes approximately 33%. This research is also showing that ROA, ROE, DER variable is significantly effect to stock price while Inflation effect is not significant.