Returns from stock investment: An application of multi-factor model
Loading...
Date
2013
Authors
Journal Title
Journal ISSN
Volume Title
Publisher
Punjab Agricultural University, Ludhiana
Abstract
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.
Description
Keywords
economics, biological phenomena, resins, productivity, technological changes, exhibitions, developmental stages, marketing, biological development, selection