This research want to see whether 1) there is any negative effect of leverage changes on the stock returns in Indonesia, 2) debt overhang on future investment, and 3) debt overhang on capital expenditure/total assets (growth opportunities). Data collection are using financial report quarterly from Indonesia Stock Exchange, the range of the data is from March 2005 until December 2009. In this research, the data processed using panel data model and some classic assumption test. In the regression of market factors the analyst use the cross-section regression, in the regression of leverage change on stock return the analyst using the random effect panel data and using fixed effect in the regression of leverage change on investment rate and growth opportunities. The result is significant and consistent. From the results of the research can be proved that there is negative effect of leverage on stock returns in Indonesia. And there is negative debt overhang effect on stock return, future investment, and growth opportunities in Indonesia.