The aimed of study to examine the relationship between the Variables perceived financial risk, liquidity, and return the moderating effect by investor behavior. Research sample consist of investors in Khartoum stock exchange in Khartoum state Sudan. The sample was occupied by random probability sampling. Beside that researcher depended on survey for data collection, the sample tacked from the investors still own the investment portfolio. This was done to enable the distribution of questionnaires and the accurateness of answers given by the investors. Research sample 400 investors the total response rate 81.75% the technique used for analysis in this research is quantitative data using Path Analysis modeling using (AMOS v 25). The results revealed the relationship between perceived financial risk and return it positive because it different form zero at 0.05 level of significance, The relationship between liquidity and return it not significance at 0.05 level of significance, The relationship between perceived financial risk and return it positive because it different from zero at 0.05 level of significance, The moderating effect of investor behavior on the relationship between perceived financial risk and return it positive because it different from zero at 0.05 level of significance, The moderating effect of investor behavior on the relationship between liquidity and return it not significance at 0.05 level of significance. The recommendation is must be well diversified of individual portfolio by less correlations (assets components of portfolio). The investor should know about benefit of diversification education may be solution. The achieved return of portfolio should be near to expect return should have known much about investor’s goals and preferences to develop framework that describes how they form portfolio. Khartoum stock exchange management should take care of marketing the financial securities. And make it easy to increase the efficiency of market. Should improve the fundamental and technical analysis of market for individual investors to anticipate the price of securities according to available information about the price in the past. Also the investors need to be flexible with market environment to change the percentage weight of their portfolio assets according to market study. And also invest in institutions that issue the financial securities according to information available about higher management.

Keywords : Perceived Financial Risk, Liquidity, Investor Behaviour, Return.