The purpose of this study was to determine and analyze the behavior of stock returns and the market value of the company in the construction and building sub-sector listed on the Indonesia Stock Exchange for the year 2015-2019. The population in this research was 18 companies; using purposive sampling method obtained 8 companies as analysis units. The data analysis technique used is multiple linear regressions with the help of the SPSS v.26 application. The results of this study indicate that NWC has a negative significant effect on stock returns, DER has a negative significant effect on stock returns, ROA has a negative insignificant effect on stock returns, TATO has a positive insignificant effect on stock returns, and stock returns has an negative significant effect on PER.