The study looked at how different factors affect stock returns in Nigeria from 1986 to 2018. They found that industrial output has a positive impact on stock returns in the short term, while inflation has a negative impact in the long term. Volatility in the stock market is high and persistent, with inflation and interest rates influencing stock returns. The research suggests that the Arbitrage Pricing Theory is valid in the Nigerian stock market. It recommends focusing on boosting industrial output through policies like tax reliefs and grants to improve stock returns.