EFFECT OF FIRM ATTRIBUTES ON STOCK RETURNS OF QUOTED COMPANIES IN NIGERIA

ABSTRACTStock returns are a fundamental concept in finance, representing the gain or loss realized by an investor from holding a stock over a specific period. This study examined the effect of firm attributes; profitability, liquidity, firm size, leverage and dividend policy, on stock returns of quoted companies in Nigeria for 2015-2024. Population of the study comprised of firm listed on the Nigerian Exchange Group (NGXGroup). 27 firms were sampled based on market capitalization as at 31st December, 2024. Employing an ex-post facto research design and a purposive sampling method, the study utilized secondary data sourced from the NGXGroup and the annual reports of the sampled firms. Stock returns was measured by the all-share index (ASI) of the NGXGroup, profitability was proxied by return on equity (ROE), liquidity was proxied by current ratio (CRR), firm size was proxied by market capitalization (Mcap), leverage was proxied debt-equity ratio (DER) and dividend policy was proxied by dividend payout ratio (DPR). Data were analyzed using descriptive statistics as well as panel regression models. Findings revealed that profitability (ROE) and leverage (DER) both exhibited negative but statistically insignificant relationships with ASI. Liquidity (CRR) showed a positive yet insignificant effect, firm size (Mcap) demonstrated a strong and statistically significant negative effect on ASI, while dividend policy (DPR) emerged as the only variable with a positive and statistically significant impact on stock returns. The study recommended amongst others, that quoted companies should prioritize consistent and transparent dividend policies and that investors, companies and analysts should be cautious in relying solely on ROE as a measure of performance.Keywords: Stock Returns, Market Capitalization, Emerging Economies, Quoted Companies, Market Volatility.....