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This study aimed to analyze the factors that affect stock returns in the Indonesia Stock Exchange, by selecting a sample of 20 companies listed on the stock group LQ 45 with the observation in the last three years. Our research found that variable X2 liquidity or significant effect on stock return because this variable is considered very strategic in influencing smooth operations and financial performance. Other independent variables no significant effect on stock returns, mainly due to the decision of investors tend to be oriented on short-term margin trends. Changes to some of the key variables are not responded to by the investor, it is evident in the relatively small determinant coefficient,