Stock market exchange growth has become one of the important factors for Indonesian economic growth right now. This phenomenon happens because the increase of Indonesian interest in joining the stock market, increasing quantity of company that listed in Indonesia Stock Exchange, and government support through investment regulation. Stock return are very sensitive to changes in business environment and economy of a country. That is why investors need to be careful to invest in the stock market and needs many accurate information as consideration in making choices. In this study, the author used 4 ratios such as Earning Yield (EY), Price Book Value (PBV), Return On Asset (ROA), and Return On Investment (ROE) effect on 20 companies stock return that listed for 10 years in LQ45 index from 2014-2018 with Market Return as control variable. Return On Equity (ROE) were excluded from the model because it has multicollinearity problem with Return On Asset (ROA). This study found that Earning Yield (EY), Price Book Value (PBV), Return On Asset (ROA), and Market Return has affecting stock return altogether. Partially all the variables have positive significant effect on stock return, only Return On Asset (ROA) that has negative insignificant effect on Stock Return Keywords : Earning Yield (EY), Price Book Value (PBV), Return On Asset (ROA), Return On Equity (ROE), Stock Return.