The aim of this study is to examine the relationship between stock returns and the financial performance of the business. The data of 52 companies operating in the manufacturing sector registered in Borsa Istanbul and whose data can be accessed regularly, between 2008 and 2018, were analyzed by creating different models with the panel GMM technique. The independent variables used in the study are profitability ratios, liquidity ratios, productivity ratios and indebtedness ratios. The dependent variable is the stock return of the companies. According to the findings of the study, it has been determined that the changes in the financial performance of the enterprises in the different models established are effective on the stock returns of the enterprises. In all the models established, it has been seen that the return on equity, productivity ratios and the ratio of market value and book value have a positive effect on stock returns. However, it is seen that there are both positive and negative relationships between the liquidity ratios of the enterprise and the stock returns. While there is a positive relationship between current ratio and stock returns, there is a negative relationship between liquidity rate and stock returns. The results of the analysis show that there is mostly a positive relationship between the stock returns and the financial performance of the business. For this reason, when investing in any stock, investors should consider the financial performance ratios as a leading indicator for stock returns and take financial statements into account. This study provides important information to portfolio investors, business owners and foreign investors.