The Media and Entertainment sectors is one of the fastest growing sector in Indian Stock Market. The study is organized to analyse the risk and returns of selected Media and Entertainment stocks listed on BSE and to compare their performance against the benchmark for the period of 5 years i.e. from 1st January 2013 to 31st December 2017. This paper analyses the performance of Media and Entertainment sector taking BSE Sensex as benchmark. This study is based on secondary data collected from BSE. The date were collected based on monthly prices of the Media and Entertainment sector and with the help of monthly prices, annual returns were calculated for a period of five years. The study shows that the shares of PVR Ltd and Inox Leisure Ltd has given the highest returns during the study period, whereas HT media ltd, has given the lowest return during the same period. The beta of all the stocks except PVR Ltd is positive, indicating that these shares carry a higher risk.