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Returns from stock investment: An application of multi-factor model
(Punjab Agricultural University, Ludhiana, 2013) Khara, Pavneet
The research project “Returns from stock investment : An application of multi-factor model” was undertaken with the objectives to study the relationship between stock returns and selected accounting based fundamental variables and to study the relationship between stock returns and selected market variables. For the purpose of achieving the objectives, the following factors were used in explanation of returns from stock investment, via stock beta, debt to equity ratio, book to market value ratio, size of company measured in terms of market capitalization, earnings to price ratio and sales to price ratio. The study was conducted for the period of 5 years ranging from April 2007 to March 2012. Data on the selected explanatory factors were used for all the stocks constituting the popular BSE Sensex index. Regression analysis and descriptive statistics were used to study the relationship between the stock returns and the identified explanatory variables. Regression results from enter method proved insignificant while that from stepwise method proved statistically significant. The best relationship was found between stock return with earnings to price and interest rate.