The purpose of this study is to determine the expected return of securities by using the APT model. Arbitration Pricing Theory (APT) is an alternative model that can be used to estimate the return of a stock based on the concept of arbitration. In this study, researchers took objects on companies listed in the pharmaceutical industry listed on the Indonesia Stock Exchange using purposive sampling. The population in this study was companies in the pharmaceutical industry and was listed on the Indonesia Stock Exchange for the period 2012-2017. Based on the predetermined criteria, the sample used in this study is seven companies which are then analysed by regression analysis methods; data processing is using SPSS 24.00. The results show that simultaneously the exchange rate (X1), inflation (X2), world oil price (X3), import (X4), and export (X5) have a significant effect on stock returns, partially the exchange rate (X1) and inflation (X2) has a negative significant effect on stock. Import (X4) and export (X5) have a positive significant effect on stock returns. While the variable world oil price (X3) does not significantly influence stock returns. Suggestions from researchers are further researcher can use companies in other industries as a comparison material and / or can add research variables. Suggestions for companies are companies can conduct early prevention activities such as minimizing risk through agreements or clauses to other companies as business partners.