Many individuals especially those without investment knowledge consider investing in stock market is a risky business. However if they understand the relationship of certain financial indicator’s impact on the stock return, they can confidently enter in the stock market as part of their investment diversification. This research article tend to assist the prospective investors without technical knowledge how to pick up a share with relying on certain financial indicators that will maximize their return on shares. To help the investors to pick up the less risky and reasonable returns on their investment the researcher has conducted a study on the impact of firm performance on stock returns, evidence from the firms listed on Bursa Kuala Lumpur, the Malaysian Stock Exchange, over the period of 2014 to 2018. In this study the researcher used five independent variables and one dependent variable. Earning per share, Quick ratios, return on assets, return on equity and net profit margin is used as independent variables while stock returns is used as dependant variable.