Size, Book to market, Distress risk and Stock return. A case of Nepal

      Аннотация: This study attempts to examine the effect of size, distress risk, book- market ratio on stock return. The study employed descriptive and causal comparative study using pooled cross section data of 18 sample banks from 2008 to 2014 listed in Nepal stock market Exchange Limited. The study found that the size of firm and Z score of the firm has significant positive relationship with stock return. The positive relationship of size and z score with stock return indicated that larger firms and firms with higher z score (firm with lesser distress risk) have higher stock return. Likewise, the book to market ratio has inconsistent and insignificant effect on stock return. The findings would be helpful to Managers and Investors to formulate investment strategies in stock market.

Ключевые слова: Size, Stock Return, Z Score, Distress risk, book to market