Company financial performance is a fundamental factor in influencing changes in stock returns obtained by investors. This study estimates and analyzes the effect of five financial ratio factors, which include; Current Ratio (CR), Debt to Equity Ratio (DER), Asset Return (ROA), Earning per Share (EPS), and Price-earning Ratio (PER) to Stock Returns. The research sample consisted of 15 food and beverage sector companies listed on the Indonesia Stock Exchange in 2013-2017. The data analysis method used is panel data regression. Partial testing shows that the DER variable influences the movement of stock returns in a negative way, while ROA and EPS have a positive effect. In contrast, CR and PER variables do not affect the movement of stock returns. Test results cumulatively show that all independent variables simultaneously affect stock returns. The results of this study provide implications for investors to consider company financial performance factors (DER, ROA, and EPS) in investment decision making.