The purpose of this study was to determine the effect of inflation, interest rates, profitability and stock returns. The sample selection in this study was done by purposive sampling. Based on the criteria obtained 24 companies as samples. The data analysis techniques used in this research are descriptive statistics, classical assumption test, multiple regression analysis, and hypothesis testing. The results of the analysis show that simultaneously inflation, interest rates and profitability have an effect on stock returns, meanwhile inflation has a significant effect on stock returns, interest rates have no significant effect on stock returns, profitability has no significant effect on stock returns.