The research objective is to the influence of capital adequacy ratios, credit risk, market risk, and financial distress indicators on stock returns. The sample uses a saturated sampling method. The data used is secondary data collected using the documentation method. Independent variables include indicators of capital adequacy ratio, credit risk, market risk, and financial distress with the dependent variable being stock returns. The analysis uses multiple regression. This research found that: capital adequacy ratio, credit risk, market risk, and financial distress have no effect on stock returns.