<![CDATA[Investing in stock instruments aims to obtain optimal returns, but there is often a discrepancy between economic theory and market reality. This study was prompted by the phenomenon of a gap between fluctuations in macroeconomic variables and fundamental performance and stock return movements at PT Adaro Energy Indonesia Tbk. This study aims to examine the effect of inflation, benchmark interest rates, the rupiah exchange rate, return on assets (ROA), debt to equity ratio (DER), and coal prices on stock returns. The population of this study consists of quarterly data from PT Adaro Energy Indonesia Tbk for the period 2016 to 2024. This secondary data was collected using non-participant observation techniques through the documentation of financial reports and official records available on the websites of Bank Indonesia and the Central Statistics Agency (BPS). The results of the analysis using R version 4.5.0 show that the rupiah exchange rate has a negative and significant effect, while ROA and coal prices have a positive and significant effect on stock returns. Simultaneously, all independent variables had a significant effect with an R-squared value of 39.06%. The results of this study can practically help investors pay more attention to exchange rate factors and fundamental performance in predicting stock returns in the mining sector. Keywords: return on equity; inflation; benchmark interest rate; rupiah exchange rate; ROA; DER; coal price]]>
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