The objectives of this research to analyze the influence of Debt to Equity Ratio (DER), Market Capital (Market Cap), Earning Per Share (EPS), Return On Assests (ROA), Return On Equity (ROE), Tobin-Q and Altman Z-Score to stock return of company that listed at Jakarta Stock Exchange in the period of 2007 – 2016. This research using time series data from IDX Fact Book yearly published on Indonesia Stock Exchange from 2007 until 2016. The number of population for this research is 58 companies. The result of this research shows that only Debt to Equity Ratio (DER), Market Capital (Market Cap), Return On Assests (ROA), Return On Equity (ROE) dan Altman Z-Score variables has significant influence to stock return, while Earning per Share (EPS) dan Tobin-Q has not significant influence to stock return. / Penelitian ini bertujuan untuk menganalisis pengaruh Debt to Equity Ratio (DER), Market Capital (Market Cap), Earning Per Share (EPS), Return On Assests (ROA), Return On Equity (ROE), Tobin-Q dan Altman Z-Score terhadap return saham perusahaan yang tercatat di Bursa Efek Indonesia (BEI) dari periode 2007 – 2016. Data diperoleh dari IDX Fact Book yang dipublikasikan tiap tahun pada periode 2007 sampai dengan 2016. Jumlah populasi penelitian ini adalah 58 perusahaan. Penelitian dilakukan dengan regresi time series melalui beberapa pengujian asumsi klasik. Hasil penelitian menunjukkan bahwa hanya variabel Debt to Equity Ratio (DER), Market Capital (Market Cap), Return On Assests (ROA), Return On Equity (ROE) dan Altman Z-Score yang berpengaruh signifikan terhadap return saham, sedangkan Earning per Share (EPS) dan Tobin-Q berpengaruh tidak signifikan terhadap return saham.