Factors Influencing Equity Investment Performance in the Stock Market.

Abstract

This study investigates the determinants of stock investment returns on the Saudi Stock Exchange during the period 2015 to 2025, a time characterized by the implementation of Vision 2030 reforms and major global economic disruptions. Using a dataset of 200 firm-year observations, the research employs Pearson correlation analysis and Ordinary Least Squares (OLS) multiple regression to examine the impact of firm-specific factors such as price-to-earnings (P/E) ratio, dividend yield, market capitalization, and macroeconomic variables including oil prices, GDP growth, and interest rates on annual stock returns. The findings reveal that dividend yield is the most influential firm-level determinant of stock returns, whereas interest rates exert the strongest negative effect. Oil prices and GDP growth also demonstrate statistically significant positive relationships with stock returns, although their impacts are comparatively weaker. Overall, the model explains approximately 64% of the variation in stock returns, highlighting the importance of integrating both firm-specific and macroeconomic factors when analyzing stock market performance rather than considering them independently.