<![CDATA[This study examines the effect of financial performance, Enterprise Risk Management (ERM), ownership structure, and Risk-Based Bank Rating (RBBR) on stock returns in banking companies listed on the Indonesia Stock Exchange during 2015–2021. The study employed a quantitative approach using panel data analysis on 27 banking companies selected through purposive sampling. Data were obtained from annual reports, financial statements, and corporate governance reports. Panel data regression analysis was conducted using the Common Effect Model (CEM). Before regression analysis, classical assumption tests and panel model selection tests were performed to ensure model validity. The results indicate that financial performance and ERM have negative coefficients, while ownership structure and RBBR have positive coefficients toward stock returns. However, all independent variables are statistically insignificant at the 5% significance level. Simultaneously, the regression model is also insignificant with a probability value of 0.659873. In addition, the coefficient of determination (R²) is only 0.052275, indicating that the model explains approximately 5.23% of the variation in stock returns, while the remaining variation is explained by external factors outside the model. These findings suggest that stock returns in the Indonesian banking sector are influenced more strongly by broader market and macroeconomic conditions than by internal financial and governance indicators. This study contributes to the literature by integrating financial performance, risk management, ownership structure, and banking health assessment into a unified stock return model within the context of emerging markets.]]>
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