This study aimed to get empirical evidence about the effect of variable bond rating, profitability, liquidity and activity on stock returns. The population is non-financial companies listed on the Indonesian Stock Exchange (BEI) in the period 2009­2013. The sample used in this study is a non-financial companies that issue shares and bonds in a row during the observation period. Data collection method in this research is secondary data collection. The sampling technique is done by using purposive sampling method the researchers used sampling techniques to obtain information from certain sources and sampling using certain criteria. The results of testing the hypothesis in this study indicate that profitability and activity have a significant effect on stock returns, while bond rating and liquidity do not have a significant effect on stock returns. The study also obtain results that simultaneous testing on a variable bond rating, profitability (ROE), liquidity (CR), and activities (TATO) jointly affect stock returns. 
Keywords : bond rating, profitability, liquidity, activity