FACTORS AFFECTING STOCK RETURNS: A SYSTEMATIC LITERATURE REVIEW

Abstract

This study aims to identify and analyze the factors influencing stock returns by applying the Systematic Literature Review (SLR) method. Data were collected through Google Scholar using the Publish or Perish (PoP) software with the keyword “factors influencing stock returns.” From an initial set of around 162,000 articles, 200 were downloaded, 50 were screened for relevance and SINTA indexing, and 10 final articles (published between 2020 and 2025) were selected for synthesis. The review reveals that
stock returns are affected by a combination of internal and external factors. Internal factors—such as profitability (ROA, ROE), valuation (PBV, PER), capital structure (DER), and liquidity (CR, LDR)—consistently demonstrate significant effects on stock return formation. Meanwhile, external factors, including macroeconomic conditions (inflation, interest rates) and market risk (beta), exhibit mixed results across sectors. These findings confirm that stock returns reflect a multidimensional interaction between firm performance, market dynamics, and investor perceptions rather than a single financial variable.The synthesis provides insights for investors, company management, and regulators to formulate strategies for improving financial performance, enhancing transparency, and fostering efficient and sustainable capital market growth in Indonesia.