The purpose of this study is to look at the factors that affect stock market returns so that they can provide useful profits to maximize profits, because it is very important for investors to maintain confidence and forecast price movements. Return on shares is the goal of investors in investing in the stock market. Stock returns are divided into two forms, namely dividends and price differences. Investors usually do analysis with various financial variables before buying stocks. The independent variables in this study are dividend yield, EPS, PER, market capitalization, and trading volume. While the dependent variable is stock return. This research was conducted by collecting data from 16 companies included in the LQ45 index over a period of 7 years (2015-2021) and using the regression model data panel in this test. Dividend yields have a significant negative effect on stock returns. The price-to-earnings ratio has a positive effect on stock returns. Earnings per share, trading volume and market capitalization do not significantly affect stock returns. The implication of the research that has been conducted is to provide direction for financial managers to be able to formulate policies that can maximize shareholder welfare by considering variables such as dividend yield and PER. For investors, this research is expected to provide information for investors related to the formulation of strategies to minimize their risk in investing in stocks.