Analyzing the Literature on Stock Returns

Abstract

The primary goal of investment is to generate returns, which comprise dividends and capital appreciation from stocks. These returns are influenced by both systematic and unsystematic risks, encompassing macroeconomic variables and firm-specific factors, respectively. The study of stock returns has attracted considerable interest among research scholars over the past 15 years, spanning the period from 2000 to 2014 and encompassing 63 different journals. This analytical study conducts a content analysis of literature on stock returns, extracting information from 368 research papers. The findings reveal a significant volume of research conducted worldwide on stock returns during this period, yielding positive results. The analysis covers various factors such as predictability/forecasting of stock returns, volatility/variability of stock returns, and their relationship with inflation. These insights are anticipated to benefit stock exchanges, regulators, government agencies, and other stakeholders. Notably, predictability/forecasting, volatility/variability, and risk and liquidity aspects of stock returns have emerged as the primary focus areas for researchers over the past 15 years