Determining the factors affecting the return of firms is important for investors to make investment decisions. For this purpose, the financial ratios giving information about the company's activities will be utilized and the data of the 59 companies that are traded in the Stock Exchange Istanbul (BİST) Industry Index will be used for the period 2005-2015. Panel quantile regression model will determine the effective financial ratios on stocks returns. While only one model estimation is made as a result of the analysis with panel regression model, model predictions including the results in different quantiles can be obtained by Panel Quantile regression analysis. The effect of financial ratios on stock returns in the study was examined by using the Non-Additive Fixed Effect Panel Quantile regression method and factors influencing the return of stocks were determined to consider the firm differences.
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