Abstract: This study aimed to find empirical evidence about the effect of risk on stock return in cement industry which listed in Indonesia Stock Exchange. In this study risk was divided into two categories, systemic risk and unsystemic risk. Samples used in this study are public firms in cement subsector listed in Indonesia Stock Exchange during 2011-2016, which selected by purposive sampling. The model was evaluated by Structural Equation Modeling (SEM) and linearregression. The result of this study from both analysis has shown that systemic risk has significant effect on stock return. On the other side, unsystemic risk didn’t have significant effect on stock return. This was because the unsystemic risk can be diversified, neither did systemic risk.