This study analyzes the effect of Return On Assets (ROA), firm size, and firm value
on stock returns in the 2019-2022 research period. Using a type of quantitative
research with a quantitative approach to examine the correlation and influence of
independent variables on the dependent variable. The results showed that ROA
had a significant and positive effect on stock returns (p-value 0.002), while firm
size and firm value had a significant and negative effect on stock returns (p-value
0.046 and 0.001). This study does not support the hypothesis of the positive effect
of firm size and firm value on stock returns. External factors such as exchange
rates, inflation, and interest rates may have influenced the results, but were not
analyzed in this study. The conclusion of this study shows that ROA has a
significant positive effect on stock returns in energy sector companies on the
Indonesia Stock Exchange for the 2019-2022 period. However, firm size and firm
value have a significant negative effect in the same period. Research limitations
include limited financial report data for 2019-2022 and a focus on energy sector
companies. Subsequent studies are suggested to expand the data and involve
companies from other sectors for a more comprehensive description of the factors
influencing stock returns.