The infrastructure sector is one of the sectors in the Indonesia Stock Exchange. At present, the sector is of concern to the public because infrastructure development is increasing as evidenced by an increased budget every year. Thus, attracting the desire of the community to invest in the sector. However, stock returns in this sector not only increased but also decreased. This study aims to determine the effect of financial ratios and macroeconomics in the Infrastructure sector on stock returns partially and simultaneously. The Secondary data testing to determine the effect partially and simultaneously was done using a panel data regression. Panel data regression results shows one point Debt to Equity Ratio (DER) and Earning per Share (EPS) can reduce stock returns, then one point Return on Equity (ROE) can increase stock returns partially. However, all variables simultaneously have a significant effect on stock returns because of the value of prob (F-statistic) less than 0.05. The conclusion is that six variables significantly influence simultaneously, but only DER, ROE, and EPS have a partially significant effect. That means the macroeconomics in Indonesia doesn’t have a significant impact on stock returns in the sector.