- Revenue
- Operating Expenses
- Total Assets
- Total Liabilities
I've gone through all sectors and did a linear regression by sector to determine the coefficients to be applied to each sector and got the following results:
| Sector | Revenue Coeff | Operating Exp Coeff | Assets Coeff | Liabilities Coeff |
| n/a | 1.757951413 | -1.685802435 | 1.058985395 | -0.940065628 |
| Consumer Durables | -0.316979969 | 6.198310777 | 1.4757337 | -1.411166774 |
| Transportation | 0.497272033 | 0.259618616 | 2.065928424 | -2.076496214 |
| Finance | 0.87978465 | -0.949490282 | 1.184012636 | -1.179976195 |
| Public Utilities | 0.016493317 | -0.665229136 | 0.835269278 | -0.289090479 |
| Energy | 0.065892306 | -0.669861102 | 1.582121055 | -1.317696686 |
| Miscellaneous | -0.750867391 | 8.027392438 | 2.88486087 | -2.435433498 |
| Consumer Non-Durables | -0.038891497 | 3.787788767 | 0.218961592 | 0.294737121 |
| Health Care | 0.128296602 | -0.299308471 | 4.758685759 | -4.904842854 |
| Consumer Services | 0.871313342 | 1.681460089 | 0.910108808 | -0.729311004 |
| Basic Industries | 0.495887515 | 2.285893733 | 1.239013616 | -0.80046736 |
| Capital Goods | 0.498509342 | 5.692384963 | 0.648907514 | -0.513628997 |
| Technology | -0.528505482 | 6.342940229 | 2.070839539 | -2.050838295 |
As expected we see the following obvious impacts:
- Assets impact stock prices positively
- Liabilities impact stock prices negatively
- Revenue, generally impacts stock price positively
- The operating expense coeff is erratic
As of this moment I've focused on companies that have a capitalisation of over $5B using closing closing stock data from 2015-07-01 from the US markets.
I'll next need to run calculations based on more historical data to see how these numbers have evolved over different times during the market. Computations done earlier this year have yielded more consistent results with the revenue coeffs and the operating expense coeffs showing consistently negative values.
I have a feeling that current market situation are throwing off the linear regression algorithm.
