Abstract Investors make a lot of effort to choose the best companies to invest. They would consider so many aspects in order to determine the right company based on the risk they would want to take. This paper analyze the impetus of the movement in stock return by taking into account the capital structure, trading volume, and market capitalization as the determinants. Using multiply linier regression model, we observe the LQ45 Index as it contains the most liquid companies which usually also have bigger market value amongst the companies listed in Indonesia Stock Exchange. We examined how capital structure, trading volume, and market capitalization promote the fluctuation on stock return of companies of LQ45 Index from year 2009-2013 using secondary data with lagged time. The sample was 24 companies consistently exist in LQ45 Index with the total of 120 sample s. The data was reduced to 90 samples to exclude the outliers. The results suggest that capital structure, trading volume, and market capitalization are the determinants of stock return. However, it appears that market capitalization affects stock return in adverse manner which indicates that the higher level of market capitalization drives the stock return to declines and vice versa. Key words: Stock return, capital structure, trading volume, market capitalization, LQ45