This study aims to examine the effect of market risk, size, book to market ratio, and earnings price ratio to the return on corporate miscellaneous industry sector in IDX the period 2006-2012. The study findings suggest that market risk significant negative effect on returns, size exhibited significantly negative effect on returns, book to market ratio is not significant positive effect on return, and earnings price ratio exhibited significantly positive effect on stock returns miscellaneous industry sector in IDX the period 2006-2012. The implication is market risk, size and earnings price ratio must be concerned by investor and the company itself.