This study explores the effect of leverage, tax planning and firm size on stock returns with investment risk as a moderating variable. The research method used is causal quantitative. The population in this study is the consumption industry sector companies indexed on the Indonesia Stock Exchange for the period 2015 to 2019. The sampling technique using the purpose sampling method obtained 100 samples. The data analysis of this study used a partial least squares structural equation modeling (PLS-SEM) approach with Smart PLS 3.3. The results showed that leverage, tax planning and firm size had no significant effect on stock returns. Investment risk is not able to moderate the effect of leverage, tax planning and firm size on stock returns.