This study aims to determine the impact of Trading Frequency, Trading Volume, and Market Capitalization on the stock returns of Manufacturing Companies listed on the Indonesia Stock Exchange (BEI) for the 2016-2019 Period. The nature of this research is quantitative explanatory. The population is manufacturing companies listed on the Indonesia Stock Exchange from 2016 to 2019. The research sample of 18 manufacturing companies that are still listed on the Indonesia Stock Exchange with the sampling technique is purposive sampling. Data is taken in the form of secondary data obtained through annual reports and financial reports for 2016-2019. The analytical method used consists of multiple regression analysis, classical assumptions, hypothesis testing (t test) and the coefficient of determination test. From the research results it is concluded that based on the regression analysis, the following equation is obtained: Y = -0.060 + 0.044FRE + 0.011VOL + 0.033KAP + e. Based on hypothesis testing, the t test (partial testing) of the variable Trading Frequency has a significant negative effect on Stock Returns, Trading Volume has a significant positive effect on Stock Returns and Market Capitalization has a significant positive effect on Stock Returns. The R Square value of 0.068 indicates that the Trading Frequency, Trading Volume, and Market Capitalization have an effect of 6.8% while the remaining 93.2% is influenced by other variables outside the regression model.