Impact of Fundamental Factors on Stock Returns in FTSE 100
Over the past decade, with the transition in economy, stock market has gained a tremendous popularity from the public. Majority of investors today are retail investors who seeks to outsmart the market in order to profit. This study aims to use panel data to study the relationship between fundamental...
| Main Author: | |
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2020
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| Online Access: | https://eprints.nottingham.ac.uk/62636/ |
| _version_ | 1848799968112934912 |
|---|---|
| author | Leong, JiaJun |
| author_facet | Leong, JiaJun |
| author_sort | Leong, JiaJun |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | Over the past decade, with the transition in economy, stock market has gained a tremendous popularity from the public. Majority of investors today are retail investors who seeks to outsmart the market in order to profit. This study aims to use panel data to study the relationship between fundamental factors and stock returns. Model wise, both common effect model and random effects model are much alike in terms of coefficient signs and significant. As for fixed effect model, the variables have a much stronger explanatory power compared to random effect model. After 3 series of test, fixed effect model was found to be the best model for this study.
From the result of this study, we found that out of all 11 different variables, earning yield tend to have the strongest explanatory power towards stock returns follow by dividend yield and dividend per share, while the remaining 8 variables tend to have a relatively weak or close to zero explanatory power on stock returns. Furthermore, 4 out 11 variables are found to be significant, while the rest are rejected at a 95% confidence level. |
| first_indexed | 2025-11-14T20:44:05Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-62636 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T20:44:05Z |
| publishDate | 2020 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-626362023-04-14T12:17:59Z https://eprints.nottingham.ac.uk/62636/ Impact of Fundamental Factors on Stock Returns in FTSE 100 Leong, JiaJun Over the past decade, with the transition in economy, stock market has gained a tremendous popularity from the public. Majority of investors today are retail investors who seeks to outsmart the market in order to profit. This study aims to use panel data to study the relationship between fundamental factors and stock returns. Model wise, both common effect model and random effects model are much alike in terms of coefficient signs and significant. As for fixed effect model, the variables have a much stronger explanatory power compared to random effect model. After 3 series of test, fixed effect model was found to be the best model for this study. From the result of this study, we found that out of all 11 different variables, earning yield tend to have the strongest explanatory power towards stock returns follow by dividend yield and dividend per share, while the remaining 8 variables tend to have a relatively weak or close to zero explanatory power on stock returns. Furthermore, 4 out 11 variables are found to be significant, while the rest are rejected at a 95% confidence level. 2020-12-01 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/62636/1/20200085_BUSI4020_Impact%20of%20Fundamental%20Factors%20on%20Stock%20Returns%20in%20FTSE%20100.pdf Leong, JiaJun (2020) Impact of Fundamental Factors on Stock Returns in FTSE 100. [Dissertation (University of Nottingham only)] |
| spellingShingle | Leong, JiaJun Impact of Fundamental Factors on Stock Returns in FTSE 100 |
| title | Impact of Fundamental Factors on Stock Returns in FTSE 100 |
| title_full | Impact of Fundamental Factors on Stock Returns in FTSE 100 |
| title_fullStr | Impact of Fundamental Factors on Stock Returns in FTSE 100 |
| title_full_unstemmed | Impact of Fundamental Factors on Stock Returns in FTSE 100 |
| title_short | Impact of Fundamental Factors on Stock Returns in FTSE 100 |
| title_sort | impact of fundamental factors on stock returns in ftse 100 |
| url | https://eprints.nottingham.ac.uk/62636/ |