Assessing Stock Return Determinants in Indonesia’s Tourism Sector Amid Crisis: An Integrated Technical Efficiency Approach

Stock returns are a key indicator of investor confidence and capital allocation in the tourism sector, particularly during crises that compress demand and elevate liquidity risk. This study investigates firm-level determinants of stock returns among 27 Indonesian listed tourism firms over 2019–2023, covering the COVID-19 disruption and initial recovery. Operational efficiency is estimated using an input-oriented, constant returns to scale (CRS) Data Envelopment Analysis (DEA) model, and stock returns are modeled with Generalized Estimating Equations (GEE) to account for the longitudinal panel structure. The results indicate that higher DEA-based efficiency and a stronger liquidity position (current ratio) are positively and significantly associated with stock returns, whereas profitability (ROA, ROE) is not significant. Leverage, growth, and firm age also show no significant effects. In contrast, higher valuation multiples (price-to-book and price-to-sales ratios) are associated with lower subsequent returns, and larger firms exhibit lower returns over the sample horizon. The findings support signaling and resource-based interpretations, suggesting that in crisis periods investors reward operational efficiency as an indicator of disciplined resource use that helps preserve cash and sustain liquidity, while discounting firms priced at high multiples.