Abstrak : Tujuan penelitian adalah untuk mengetahui perilaku analis efek di pasar modal Indonesia berdasarkan perspektif laporan keuangan. Perilaku diidentifikasi dengan cara menguji aspek fundamental dari laporan keuangan seperti laba akuntansi, solvabilitas, arus kas dan kebijakan dividen terhadap return saham. Jika aspek fundamental berpengaruh dalam mempertimbangkan pemilihan saham, maka investor cenderung rasional. Namun, jika aspek fundamental tidak berpengaruh, analisis fundamental cenderung diabaikan. Populasi penelitian adalah perusahaan BEI yang masuk kedalam indeks kompas 100 tahun 2013-2017. Teknik pengambilan sampel menggunakan purposive sampling dengan kriteria yang telah ditentukan. Teknik analisis data menggunakan regresi data panel yang meliputi: statistik deskriptif, estimasi model regresi, pemilihan model regresi, uji F, koefisien determinasi dan untuk membuktikan hipotesis, digunakan uji t. Hasil penelitian membuktikan bahwa laba akuntansi memiliki pengaruh terhadap return saham, sedangkan solvabilitas, arus kas dan kebijakan dividen tidak berpengaruh terhadap return saham. Temuan penelitian: 1. Dalam investasi saham, investor cenderung bersifat taking profit dalam memperoleh keuntungan bentuk capital gain; 2. Investor lebih menyukai analisis teknikal daripada analisis fundamental karena mereka dianggap lebih cepat dalam memberikan informasi. Kata kunci: Laba Akuntansi, Solvabilitas, Arus Kas, Kebijakan Dividen dan Return Saham Abstract : The research objective was to determine the behavior of securities analysts in the Indonesian capital market based on financial report perspective. Behavior is identified by testing the fundamental aspects of financial statements such as accounting profit, solvency, cash flow and dividend policy to stock returns. If the fundamental aspects are influential in considering stock selection, investors tend to be rational. However, if the fundamental aspects are not influential, fundamental analysis tends to be ignored. The research population is the BEI company that entered the 100 compass index from year’s 2013-2017. The sampling technique uses purposive sampling with predetermined criteria. The data analysis technique uses panel data regression which includes: descriptive statistics, regression model estimation, regression model selection, F test, coefficient of determination and to prove the hypothesis used t test. The results of the study prove that accounting profit has an effect on stock returns, while solvency, cash flow and dividend policy have no effect on stock returns. Research findings: 1. In stock investments, investors tend to be taking profit in the form of capital gains because they are considered faster in providing profits; 2. Investors prefer technical analysis rather than fundamental analysis because they are considered faster in providing information. Keywords: Accounting Profit, Solvability, Cash Flow, Dividend Policy and Stock Return