The purpose of this research is to examine and analyze the influence of liquidity, profitability, leverage, market value, activity on stock returns. Dependent variable in this research is stock return. The independent variables in this study consist of liquidity as measured by Current Ratio (CR), profitability as measured by Return On Assets (ROA), leverage as measured by Debt to Assets Ratio (DAR), market value measured by Price to Earning Ratio ( PER), and activities measured by Total Asset Turn Over (TATO). The object of this study is manufacturing companies listed on the Indonesia Stock Exchange (IDX) for the period 2012-2016. The data used in this study is secondary data, namely annual financial statements. The research sample was selected using purposive sampling method and obtained as many as 159 samples. The analytical method used in this study uses multiple linear regression with E-Views 7.1 application tools. The results showed that liquidity had no significant effect on stock returns, profitability had a significant positive effect on stock returns, leverage had a significant positive effect on stock returns, market value had a significant positive effect on stock returns, and activity had no significant effect on stock returns.