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

被引：0

作者：

Ajayi, Samuel Abiodun ^{[1
]}

Omankhanlen, Alex Ehimare ^{[2
]}

Ajibola, Arewa ^{[3
]}

Adeyeye, Olufemi Patrick ^{[4
]}

Iseolorunkanmi, Ojo Joseph ^{[5
]}

机构：

[1] Landmark Univ Omu Aran Nigeria, Coll Business & Social Sci, Dept Accounting & Finance, Omu Aran, Nigeria

[2] Covenant Univ, Dept Banking & Finance, Otta, Nigeria

[3] Lagos State Univ, Dept Banking & Finance, Ojo, Nigeria

[4] Fed Univ, Dept Banking & Finance, Oye Ekiti, Nigeria

[5] Landmark Univ Omu Aran, Dept Polit Sci & Int Relat, Omu Aran, Nigeria

来源：

EDUCATION EXCELLENCE AND INNOVATION MANAGEMENT THROUGH VISION 2020 | 2019年

关键词：

RETURNS;

D O I：

暂无

中图分类号：

G40 [教育学];

学科分类号：

040101 ; 120403 ;

摘要：

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.

引用

页码：7237 / 7248

页数：12

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