Development of the Model of Factors Affecting Stock Returns

Given the importance of estimating stock returns, the purpose of this study was to identify the factors affecting stock returns by using the meta-analysis method. Meta-analysis is the main tool for combining results in social and behavioral research. It allows researchers to combine quantitative results of studies, explain the compatibility of results, and achieve a single result. Based on the research background, the impacts of different factors on stock returns were considered. A model of factors affecting stock return is designed in the analysis of empirical studies. This research used the meta-analysis method to comprehensively examine the factors affecting stock returns and assess the different factors that had been examined in various studies over the past years. In a similar research, the researcher had selected the factors affecting stock returns and only tested the selected factors via general categories. However, in this research, a more comprehensive study was conducted to separately examine all the factors whose effects on stock returns had been tested in different studies. Therefore, some of the factors investigated in this research had not been studied in the previous research. Accordingly, a model of factors affecting stock returns was developed. In this research, 422 studies were collected and 102 of them were analyzed. Totally, 153 factors were extracted from these studies and finally, 16 factors were tested. The type of effect size calculated in this study was r. Among the examined factors, earnings per share, operating cash flow, net operating assets, operating earnings, market return, earnings quality, and return on equity had an impact on stock returns. Since the majority of the factors affecting stock returns were related to the financial reports of companies, i.e., their financial status and performance, those factors could be considered to investigate investment opportunities.