When investing, investors can use the information of accounting profit and operating cash flow as a company's internal information that can provide an information about performance of the company's operating performance, as well as inflation and interest rates as external information that indicates the state of the macro economy where the company operates. Previous studies have examined the effect of operating cash flow, accounting profit, interest rates, and inflation with a wide range of research gap so researcher feels compelled to examine the influence of these variables on stock returns. The research methods used in this study is using multiple regression analysis of panel data. The sample in this study are 34 companies listed in LQ 45 indexthat listed in 2nd semester of 2013 period. The data used in this study are the data from 2008 to 2013 period. This study uses Eviews 7 statistical application as a data analysis tool. The results of this study showed changes in interest rates and inflation have a significant effect on stock returns, while the change in operating cash flow and accounting profit does not have a significant effect on stock returns with α significance level of 5%.