This study examined the determinants of stock returns in Nigerian stock exchange. The study employs monthly data from 2004 to 2012 and the determinants are interbank call money rate, exchange rate, money supply, interest rate and foreign portfolio investment while the stock returns is represented by all share index,. The ordinary least square estimation (OLS) model is used in establishing the relationship between the dependent and independent variables. Empirical evidence reveals that all the determinants are positively predicting stock returns except exchange rate which is inversely associated with the returns. However, all the determinants are strongly significant in explaining the stock return in Nigeria. It was recommended that the policy makers CBN and SEC should come up with an appropriate interbank call money rate that will enable prospective investors to borrow with a manageable and profitable interest rate for investment in the Nigerian stock market thereby boosting the returns of investment in the market. Also, the market should be liberalized to allow foreign investors participated tremendously to improve the level stock returns.