The Indonesian banking sector experienced significant changes during the 2020-2024 period due to the COVID-19 pandemic, the subsequent economic recovery, and changing financial-market conditions. For publicly listed banks, stock returns provide an important market-based measure of performance. Therefore, understanding the factors that influence bank stock returns has become increasingly important. This study examines the effects of Capital Adequacy Ratio (CAR), Operational Efficiency Ratio (BOPO), Exchange Rate, and Market Index on the Stock Returns of publicly listed banks in Indonesia. In addition, it investigates whether Government Bond Yield moderates the relationships between the bank specific indicators, namely CAR and BOPO, and Stock Returns. This study employed a quantitative research approach using panel-data regression analysis. The sample consisted of 34 banking companies continuously listed on the Indonesia Stock Exchange during the 2020-2024 period, resulting in 170 balanced panel observations. Bank-specific data were obtained from the annual reports of the sampled banks, while market and macro-financial data were collected from Investing.com. The Common Effect Model (CEM) was selected as the final estimation model, and the moderated regression model produced an adjusted R squared of 0.1147. The results indicate that CAR and the Market Index have positive and significant effects on Stock Returns, whereas BOPO exhibits a positive and significant relationship with Stock Returns, contrary to the initial theoretical expectation. In contrast, the Exchange Rate does not have a statistically significant effect on Stock Returns. Furthermore, Government Bond Yield significantly weakens the positive relationships between CAR and Stock Returns and between BOPO and Stock Returns. These findings suggest that investors evaluate publicly listed banks by considering both bank-specific financial conditions and broader financial-market conditions, while Government Bond Yield influences how internal banking indicators are reflected in Stock Returns.