• PETER IFEANYI OGBEBOR Department of Banking and Finance, School of Management Sciences, Babcock University, Ilishan-Remo, Ogun State.
Keywords: Fundamental Factors, Market Efficiency, Nigerian Stock Exchange, Panel Regression Analysis, Stock Market Returns.


Stock market returns depend on a lot of factors which enable shareholders of companies to evaluate their investments. The main theme of efficient market hypothesis (EMH) is that stock prices easily absorb available information. The focus of this study is to test how stock prices in Nigeria react to some fundamental factors.  In doing so, this study tests the effects of earnings yield (EY), dividend yield (DY), debt/asset ratio (D/A) and pay-out ratio (PR) on adjusted stock returns (ASR) in Nigeria by employing a robust set of econometric estimation techniques which include panel regression analysis in the examination of the relationship between stock returns and fundamental factors using a sample of ten (10) most capitalized companies listed on the Nigerian Stock Exchange (NSE) from 2008 – 2017. The study period covered the period of the last global financial crisis which led to a significant loss of value in investments globally and negatively affected equity culture especially in frontier markets like Nigeria. The results were mixed as negative and significant relationships were found between Dividend Yield (cof. = -9.9163) and Debt/Asset Ratio (cof. = -5.0588) with Adjusted Stock Returns while positive and significant relationship was found between Earnings Yield (cof. =1.8084) and Adjusted Stock Returns. On its part, a negative and insignificant relationship was found between Pay-out Ratio (cof. = -0.0664) with Stock Returns respectively.   The major implication of these findings is that stock prices in Nigeria were significantly affected by some fundamental factors during the period of study, hence, investors and other stake-holders in the stock market in Nigeria should pay attention to fundamental factors especially those with significant effects on stock returns while investing.