The presence of the capital market was in Indonesia marked with even more of them the company (emiten) that traded the share, including inside was the sector of the banking industry. The increase in the number emiten brought to the side of that was better, for emiten more will be easy to receive capital and for the investor will obtain the profit or return. In doing investment in the capital market, the investor must consider several good factors the micro and macro factor economics.The objectives of this research to analyse the effect of firm financial performance (CAR, BOPO, ROE, LDR), size (total asset), and the macro variable economics (inflation, the bank's Indonesian certificate, and the exchange rate) toward return of the banking company that was registered in the Indonesian stock exchange. The sample that was used in this research totalling 16 banking company that was registered in the Indonesian stock exchange during the year 2005-2009, that choiced was based on the method purposive sampling. The analysis method that was used was multiplied regression. Analysis was carried out for the interval of time 3 monthly, 6 monthly and 12 monthly. The analyst results showed that in the interval of time 3 monthly the BOPO variable, ROE, inflasi, and the exchange rate that were influential toward return. For the interval of time 6 monthly the ROE variable, and exchange rate that were influential toward return. Whereupon in the interval of time 12 monthly only exchange rate variables that were influential toward return, whereas the CAR variable, BOPO, ROE, LDR, the total asset, inflation, and SBI were not influential toward return. To the lag variable mode, for the interval of time 3 monthly only inflation variables that were influential toward return, and for the interval of time 6 monthly the inflation variable, and the exchange rate that were influential toward return. Whereupon for the interval of time 12 monthly the inflation variable, SBI and the exchange rate were influential toward return. Afterwards simultaneously was found that the CAR variable, BOPO, ROE, LDR, total the asset, inflation, SBI, and the exchange rate were influential toward return was in the interval of time 3 monthly, 6 monthly, and 12 monthly.