Penelitian ini dilakukan untuk mengetahui pengaruh publikasi laporan keuangan terhadap return (tingkat pengembalian) harian di sekitar tanggal pengumuman atas emiten saham selama lima tahun terakhir. Penelitian ini dilakukan dengan mengumpulkan sampel perusahaan yang terdaftar dalam index LQ45 periode Februari – Agustus 2019 pada sepuluh periode laporan keuangan semester dua tahun 2014 hingga semester satu tahun 2019 berdasarkan metode statistical hypothesis testing. Data dianalisis dengan metode multiple regression analysis, dimana terdapat satu variabel dependen (return) dan lima variabel independen (expected return, earning per share, standardized unexpected earning, capital gain, dan earning surprise). Hasil penelitian ini menyatakan bahwa return harian lebih signifikan dipengaruhi oleh earning per share, capital gain, dan earning surprise pada periode seputar publikasi laporan keuangan. / This research was conducted to determine the effect of the publication of financial statements on daily returns around the announcement date for the issuers of shares over the past five years. This research was conducted by collecting a sample of companies listed in the LQ45 index for the February - August 2019 period for ten periods of the second half of 2014 to semester one of 2019 based on the statistical hypothesis testing method. Data were analyzed using multiple regression analysis method, where there is one dependent variable (return) and five independent variables (expected return, earnings per share, standardized unexpected earnings, capital gains, and earnings surprise). The results of this study stated that the daily return was more significantly influenced by earnings per share, capital gains, and earnings surprises in the period surrounding the publication of financial statements.