Capital intensity is a concept related to the dependence of production processes on capital. High capital intensity can increase company risk and therefore affect stock returns. In this study, the long-term effect of capital intensity, calculated by the ratio of fixed assets to number of employees, on stock returns was examined. The returns are represented by the total return index. Additionally, in the model, the ratio of total debt to equity, which represents the financial leverage ratio, and total assets, which represents the size of the company, are used as explanatory variables. 14 manufacturing companies listed on the Istanbul Stock Exchange were examined between 2000 and 2021 for this purpose. After the second-generation cointegration test, a long-term relationship was identified and long-term coefficients were estimated with the use of AMG and PMG estimators. The estimation results show that capital intensity significantly and negatively affects stock returns in the long term. Furthermore, it has been found that in the long term, financial leverage ratio has a negative effect on returns, while the size of the company has a positive effect. The results show that investors should consider the capital intensity levels of companies when making investment decisions, and that companies should manage their capital intensity levels well and avoid investments that would increase it.