Analyzing the Effects of Excise Tariff, Exchange Rate, Inflation, EPS, and DPR On Stock Returns: Evidence from Indonesian Cigarette Companies Listed on the Stock Exchange (2012–2022)

Abstract

This study investigates the effects of excise tariff, exchange rate, inflation, earnings per share (EPS), and dividend payout ratio (DPR) on the stock returns of cigarette companies listed on the Indonesian Stock Exchange from 2012 to 2022. The research employs a descriptive quantitative approach with panel data regression analysis. The findings reveal that excise tariff, exchange rate, and inflation do not have a significant impact on stock returns. Conversely, EPS and DPR significantly influence stock returns. Moreover, the F-test results indicate that the independent variables excise tariff, exchange rate, EPS, and DPR jointly have a significant effect on stock returns. The coefficient of determination (adjusted R-squared) is 0.391, suggesting that approximately 39.1% of variations in stock returns can be explained by the independent variables, while the remaining 60.9% may be affected by other factors. These results imply a meaningful relationship between the selected financial and macroeconomic indicators and stock returns in Indonesia’s cigarette industry.