Investigation of the impact of six factors on the portfolio returns
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DOI: 10.23977/FMESS2022.055
Author(s)
Yiyang Chen, Zhenhao Hua, Shengyu Shen, Feixian Wu
Corresponding Author
Yiyang Chen
ABSTRACT
Several factors determine the stock returns, some of them are more influential. The purpose of this research was to find the decisive factors among the six candidate factors and the function that represents the return of each portfolio in terms of the return of different factors. This paper introduces the descriptive analysis of the monthly return of each factor, the regression model, and the analysis of the model. Through the analysis of various parameters and F-test, factors MKT, SMB, and HML were found to have the most relevance to our portfolio returns. This research can be helpful to better analyze the factors that influence the return rate of the stock portfolio in daily stock investment so that investors can make some more informed investments.
KEYWORDS
Decisive factors, Descriptive analysis, Regression model, F-test, P-value