This study examines the determinants of cross-sectional variation in quarterly stock returns of banks listed on the Indonesia Stock Exchange during the 2020-2024
period. Grounded in Modern Portfolio Theory, the Capital Asset Pricing Model (CAPM), and multi-factor asset pricing literature, the research investigates whether
Market Beta (β), Market Return (Rm), market-based characteristics, and bank specific fundamentals are associated with differences in quarterly returns across
banks. The study employs a bank-quarter panel dataset covering 2020Q1-2024Q4. Quarterly stock return, calculated from end-of-quarter closing prices, serves as the
dependent variable. The independent variables include Market Beta derived from a 36-month rolling window of monthly returns and mapped to quarter-end, Market
Return (Rm), Firm Size (market capitalization), Book-to-Market (B/M), and key banking ratios: Capital Adequacy Ratio (CAR), Non-Performing Loans (NPL), Net
Interest Margin (NIM), and Loan-to-Deposit Ratio (LDR). Panel regression analysis is applied, with model selection based on the Chow test, Hausman test, and
Breusch-Pagan Lagrange Multiplier test. The results indicate that Market Return (Rm) is positively and statistically significantly associated with quarterly stock
returns, whereas Market Beta (β) is not statistically significant within the study period. In the extended specification, CAR, NPL, NIM, and LDR are statistically
significant with negative coefficients, while Firm Size and Book-to-Market do not show statistical significance at the 5% level. The model is jointly significant and
explains approximately 26,16 of the variation in quarterly stock returns. Overall, the findings suggest that, during 2020-2024 and within the sample of Indonesian
banks, cross-sectional differences in quarterly returns are more closely associated with market conditions and selected bank fundamentals than with variation in beta
across banks.
Keywords: stock return, market beta, market return, market-based characteristics, bank-specific characteristics