ABSTRACTThe capital market, where stocks are traded, represents a crucial platform for rapid economic development of any nation. Stock returns are a fundamental concept in finance, representing the gain or loss realized by an investor from holding a stock over a specific period. This study examined the effect of macroeconomic factors; interest rate, inflation and exchange rate, on stock returns of quoted companies in Nigeria for 2015-2024. Interest rate was proxied by the Central Bank of Nigeria (CBN) prime lending rate (PLR), inflation rate was proxied by the CBN year-on-year inflation rate and exchange rate was proxied by the naira to US dollar. The endogenous variable, stock returns was proxied by Dividend-Adjusted Return (DAR). Population of the study comprised of firm listed on the Nigerian Exchange Group (NGXGroup). 27 firms were sampled based on market capitalization as at 31st December, 2024. Employing quantitative longitudinal research design, the study utilized secondary data sourced from the CBN, the Nigeria Bureau of Statistics (NBS) as well as the published annual reports of the sampled companies. Data were analyzed using descriptive statistics, correlation analysis, least square regression model and granger causality tests. Findings revealed that both interest rate and exchange rate exhibited a negative and statistically significant relationship with dividend-adjusted returns (DAR) while inflation demonstrated a positive and highly significant effect on stock returns. The study recommended amongst others, that the CBN should adopt a balanced interest rate policy that supports economic stability without stifling equity market growth and maintain inflation within an optimal band through proactive monetary and fiscal coordination to preserve investor purchasing power and market stability. Investors should factor currency risk into their valuation models and consider exposure to export-oriented firms that benefit from naira depreciation.Keywords: Stock Returns, Market Capitalization, Stock Exchange, Emerging Economies, Market Volatility.....