Semiparametric estimation of factors that affect the stock return

Abstract

The stock market is full of dynamics and uncertainty, and much research has been done to study the factors that can
drive the stock price to fluctuate. The previous study focused on firm-specific factors such as dividends, book value,
earnings, etc. Moreover, numerous studies have proven that such firm-specific factors can influence the movement of
stock prices.
In this paper, we not only want to study the firm-specific factors such as sales to earnings ratio and earnings book value
ratios, market capitalization, etc., but also we want to study whether the beta value, as well as the sector categories, can
determine the movement of the share price to some extent. In this sense, we choose the stock price of Russell 2000 and
the associated factors to study the underlying empirical relationship between them. We want to give investors the best
chance to pick the right stock with growth potential. We want investors to use these methods we lay out to find their
stocks in the future. You can use these methods to sort out stocks by your requirement and pick—diversified sectors to
have a high growth risk-averse portfolio.
We highlight safer stocks for investors looking for more steady stocks that don’t fluctuate as much as the market.
You can again manipulate the data to find stocks that fit your individual investing requirement. Only some people can
stomach a very volatile stock with potentially significant gains. Some would rather have safer options that aren’t as
volatile.