The purpose of this study is to analyze the effect of exchange rates, inflation, and leverage on stock returns with profitability as an intervening variable study in the consumer goods industry sector listed on the Stock Exchange in the 2015-2018 period. This research is a quantitative research. The purposive sampling method uses 23 sample companies with several required criteria. Data collection techniques in this study are descriptive statistics, classic assumption tests, multiple linear regression analysis, hypothesis testing, and multiple tests. The results revealed that the exchange rate had no effect on profitability, inflation had a positive and significant effect on profitability, leverage had a negative and significant effect on profitability, the exchange rate and leverage had no effect on stock returns, inflation had a significant negative effect on stock returns, profitability had a significant positive effect on stock returns. While on the effect of mediation, profitability is not able to mediate the effect of exchange rates and inflation on stock returns, and profitability is able to mediate the effect of leverage on stock returns.