Research on the Influencing Factors of Stock Return Based on Factor Analysis and OLS Regression Analysis

The purpose of this paper is to explore the influencing factors of stock returns. Factor analysis and OLS analysis are used in this study. Since there are many factors affecting stock returns, this paper uses factor analysis to reduce the dimension of the selected financial indicators and then uses OLS regression analysis to further analyze the influencing factors of stock returns according to the results of factor analysis. This paper uses SPSS software to perform factor analysis on 15 financial indicators in the 2021 financial statements of 97 listed companies on the Beijing Stock Exchange in China. In the end, the indicator downs to four factors: solvency factor, profitability factor, earnings quality factor, and growth factor. Then use OLS regression analysis to analyze the correlation between these four factors and stock returns. To conclude, the analysis shows that the solvency factor and the earnings quality factor have a prominent positive influence on the stock price. However, the growth factor and profitability factor do not show an influence on the stock price.