LEVERAGE IMPACT ON STOCK RETURNS IN SAUDI ARABIA

Authors

  • Abrar Alshehri
  • Shabir Hakim

Abstract

The study aimed to investigate impact of market portfolio, stock returns size, value and leverage toward stock returns in Saudi Arabia between January 2010 and December 2015. The result showed that leverage had impact on two company’s stock returns, size on one company and firm’s value on three companies while market portfolio was main determinant of Saudi stock return variation. This study was used secondary data obtained from Bloomberg database. This study had applied regression analysis for model test using last six years (2010-2015) monthly data. In additions, this study used t-test and test significant of impact of independent variable on dependent variable test statistic (T-statistic) was used. The result suggested that explanatory power of four factor model used in this study varied from 17.94% to 69.72%.