The Impact of Structural and Firm-Specific Characteristics on Stock Returns in Turkey: A Panel Data Analysis

Determinants influencing share earnings are a significant research topic in the finance literature. This study aims to identify the structural and firm-specific characteristics affecting stock returns in Turkey over the period from 2005 to 2017, and to elucidate the relationship between these characteristics and stock returns using regression analysis with standardized panel data variables. Another objective of the study is to determine which characteristics have a more substantial impact on stock returns. In the study, structural factors such as exchange rate, money supply, inflation, foreign portfolio investment, balance of payments, gold, and GDP are considered. Firm-specific factors include liquidity, profitability, leverage, asset structure, price-earnings ratio, earnings per share, market value, market-to-book value ratio, sales potential, asset growth rate, risk, and size. The findings of the research indicate that ten structural and firm-specific characteristics are significantly correlated with firm earnings. Based on these results, it can be inferred that there is a relationship between firm earnings and both structural and firm-specific characteristics. Consequently, it is suggested that individual and corporate investors, company owners, managers, policymakers, and economists should collectively evaluate both structural and firm-specific characteristics.