Impact of Fundamental and Macroeconomic Factors on Stock Returns: A Study on Cement Industry in Bangladesh

The main aim of this research is to figure out how fundamental and macroeconomic factors affect stock returns in Bangladesh. Five companies out of seven that are listed on the DSE and are part of the cement industry were randomly selected for this purpose. The companies involved are Heidelberg Cement Bangladesh Limited, Lafarge Holcim Bangladesh Limited, Premier Cement Mills Limited, Crown Cement PLC, and Meghna Cement Mills Limited. All the data were gathered as time series on a monthly basis, spanning the years 2012 through 2021. For the sake of the study's objective, some fundamental and macroeconomic factors are identified and incorporated into the framework of multiple regressions. In addition to these fundamental factors, which include debt to equity, return on asset (ROA), return on equity (ROE), price earnings (P/E) ratio, and earnings per share (EPS), macroeconomic factors, e.g., inflation (INF), gross domestic product (GDP), interest rate (INT), money supply (M2), foreign direct investment (FDI), and exchange rate (EX), are also considered. According to the study's overall findings, among key variables, Lafarge Holcim Bangladesh Ltd. and Heidelberg Cement Bangladesh Limited both had positive and statistically significant EPS and PE ratios, whereas Crown Cement PLC only had a positive and statistically significant PE ratio. However, only inflation was determined to have a negative and statistically significant effect on Meghna Cement Mills Ltd. among all sample companies. None of the fundamental or macroeconomic factors was found to be statistically significant in the case of Premier Cement Mills Limited. Since it includes a wide range of macroeconomic variables in addition to the selected fundamental variables, this study stands out from others for listed firms within the cement industry of DSE, Bangladesh. Such a study would be more beneficial if it took into account more exogenous variables and stocks that are listed in or outside of this sector. This study's entire data analysis was carried out with the use of the statistical software Eviews version 10.