Size, Value and Momentum: Evidence from the Nigerian Stock Market

We document the existence of size and value effects in relation to common risk factors in the Nigeria stock market. Empirically, we find that small-stock components of traditional value and momentum factors capture the patterns of return on strategies portfolio building in the stock market and size-effects models substantial outperform the average return of the market. We finally develop a simple method to isolate periods where style tilts are likely to be particularly effective.