The research objective was to analyze the effect of return on asset, debt to equity ratio, and earning per share on stock returns. The data were collected by using secondary data on annual reports or financial reports that had been published by basic and chemical industry companies registered in Indonesia Sharia Stock Index and Indonesia Stock Exchange in the period of 2014-2019. Sampling using purposive sampling method. Analysis used multiple linear regressions. The research data passed the classic assumption test. The result showed that return on asset had a positive significant effect on stock returns, whereas, debt to equity ratio, and earning per share have no effect on stock returns.