Speakers
Description
Author Information
Name: Rituraj Singh
Affiliation: Indian Institute of Information Technology Una, Himachal Pradesh, India
Programme: B.Tech Computer Science Engineering (Data Science)
Email: 24519@iiitu.ac.in
Title
Do Some Stocks Always Beat Others? Exploring Global Stock Factors with R
Primary Topic
Finance and Economics Applications of R / Data Analysis and Visualisation
Keywords
factor investing, cross-sectional returns, momentum, global equities, R for finance
Abstract
Have you ever wondered why some stocks seem to do better than others, even when they appear equally risky? This is a question researchers have studied for decades, and the short answer is: a few simple patterns — called factors — explain a surprising amount of the difference.
This project uses a real-world dataset of 100 companies across 9 countries (Australia, Canada, China, France, Hong Kong, India, Japan, UK, and USA), covering 20 quarters from early 2019 to late 2023 (2,000 data points in total). Using R, I built and tested five such factors — market, size, value, momentum, and profitability — to see which ones actually worked over this period.
The key findings were: stocks earned about 8.9% more per year than keeping money in a savings account (the market premium); stocks that had gone up in the previous quarter continued to rise, earning an extra 2.6% per year (the momentum effect); and surprisingly, large companies actually beat small ones by 1.1% per year, going against the usual textbook prediction. The global fear index (VIX) had the strongest negative link with returns (r = -0.53), meaning when people panic, stocks fall sharply — as seen vividly in the COVID crash of early 2020.
This project is intended as a friendly introduction to factor investing using real data and straightforward R code.
Previous Presentations
This topic has not been presented at any previous conference.
External Resource
GitHub Repository: https://github.com/riturajsinghbisen/Global-Stocks-Factors
The repository includes:
The full dataset (GlobalStockFactors.csv) with 2,000 observations
R scripts
A README guide
If you used AI tools or services to support the preparation of this submission, please state the name and reason for using each of them.
Used Chatgpt and Claude for the research purpose(data collection,know about the diiferent factors and the previous works done on this topic
| Keywords: Please list up to 5 keywords to help us find the right session for your contribution. | factor investing,cross-sectional returns,momentum,global equities,R for finance |
|---|---|
| Virtual Option | This submission is for pre-recorded virtual presentation only |
| Video Recording | Please don't share recordings of my talk |
| The author(s) agree(s) to take responsibility and be accountable for the contents of the submission and is/are authorized to present it. | Confirm |