The purpose of this research is to know the influence of fundamental indicator that consisted of market risk premium, market capitalization, book to market ratio, earning yield, and net cash flow yield to stock return. This research use secondary data from monetary data in Indonesia Stock Exchange. Research sample counted 75 company with highest trading frequency in Indonesia Stock Exchange from 2007-2016. We analyze the data using F test and t test to examine its hypothesis. This research consisted of 1 model, which is 4 indicator models that estimate the influence of fundamental indicator such as market risk premium, market capitalization, book to market ratio, earning yield, and net cash flow yield to stock return. The result of study in model 1 shows that there is negative and significant influence between market capitalization, and book to market ratio to stock return; there is positive and significant influence between market risk premium, earning yield and stock return; there is positive and not significant influence between influence net cash flow yield and stock return. / Penelitian ini bertujuan untuk mengetahui pengaruh antara indikator fundamental yang terdiri dari market risk premium, nilai kapitalisasi pasar, book to market ratio, earning yield, dan net cash flow yield terhadap return saham. Data yang digunakan dalam penelitian ini adalah data sekunder yang bersumber dari data keuangan di Bursa Efek Indonesia. Sampel penelitian sebanyak 75 perusahaan dengan trading frequency tertinggi di BEI selama periode 2007-2016. Teknik analisis data menggunakan uji F dan uji t dalam pengujian hipotesisnya Model penelitian adalah model 4(empat) indikator yang mengestimasi pengaruh indikator fundamental yang terdiri dari market risk premium, nilai kapitalisasi pasar, book to market ratio, earning yield, dan net cash flow yield terhadap return saham. Hasil pengujian pada model 1(satu) diperoleh bahwa terdapat pengaruh negatif dan signifikan antara nilai kapitalisasi pasar, dan book to market ratio terhadap return saham; terdapat pengaruh positif dan signifikan pada market risk premium, dan earning yield terhadap return saham; terdapat pengaruh positif dan tidak signifikan pada net cash flow yield terhadap return saham.