This study aims to examine and analyze the effect of DER, ROA, EPS and MS on stock returns on telecommunications sector companies listed on the Indonesia Stock Exchange. This study uses annual data for the observation period from 2012 to 2016. The type of research is descriptive causality. The data used is panel data which is a combination of annual time series data and cross section processed using panel data regression analysis. The population is telecommunications companies listed on the Indonesia Stock Exchange in 2012 up to 2016 a number of 5 companies. The sampling technique used purposive sampling, found a sample of 4 companies with a 5-year observation to obtain a total observation of 20. Data were obtained from Sahamok. Data analysis in this study is panel data regression. The model used is Fixed Effect Model. The results of the analysis show that the DER variable has a significant positive effect, ROA has a significant positive effect, while EPS and MS have no significant negative effect on stock returns, namus simultaneously to the four variables DER, ROA, EPS and MS together can affect the stock return shown by data processing results that get R2 value of 82.44% of the telecommunications sector stock returns on the Indonesia Stock Exchange for the period 2012-2016.