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

共 50 条

[21] Momentum in the Chinese Stock Market: Evidence from Stochastic Oscillator Indicators
Ni, Yensen
Liao, Yi-Ching
Huang, Paoyu
EMERGING MARKETS FINANCE AND TRADE, 2015, 51 : S99 - S110
[22] Risk-Managed Momentum: An Evidence from Indian Stock Market
Singh, Simarjeet
Walia, Nidhi
Panda, Pradiptarathi
Gupta, Sanjay
FIIB BUSINESS REVIEW, 2022, 11 (03) : 347 - 358
[23] Combining value and momentum: evidence from the Nordic equity market
Grobys, Klaus
Huhta-Halkola, Topi
APPLIED ECONOMICS, 2019, 51 (26) : 2872 - 2884
[24] The Return of the Size Anomaly: Evidence from the German Stock Market
Amel-Zadeh, Amir
EUROPEAN FINANCIAL MANAGEMENT, 2011, 17 (01) : 145 - 182
[25] Company size, book-to-market and momentum effects, and other deviations from the CAPM - evidence from the Warsaw stock exchange
Czapiewski, Leszek
BUSINESS AND ECONOMIC HORIZONS, 2013, 9 (03) : 79 - 86
[26] ANALYSIS OF THE MARKET EFFICIENCY OF NIGERIAN STOCK MARKET: EVIDENCE FROM POST COVID-19 LOCKDOWN
Abdulrahman, F. T.
Nageri, K. I.
Lawal, S. O.
Ibrahim, R. O.
ROSSIISKII ZHURNAL MENEDZHMENTA-RUSSIAN MANAGEMENT JOURNAL, 2023, 21 (04): : 534 - 551
[27] Size and Value Premiums in the Indian Stock Market
Aziz, Tariq
Ansari, Valeed Ahmad
PACIFIC BUSINESS REVIEW INTERNATIONAL, 2014, 7 (04): : 74 - 80
[28] Adaptive market hypothesis and momentum effect: Evidence from Dhaka Stock Exchange
Akhter, Tahmina
Yong, Othman
COGENT ECONOMICS & FINANCE, 2019, 7 (01):
[29] Does the momentum strategy work universally? Evidence from the Japanese stock market
Liu C.
Lee Y.
Asia-Pacific Financial Markets, 2001, 8 (4) : 321 - 339
[30] Momentum strategy and board size: Evidence from Taiwan Stock Exchange (TWSE)
Lo, Keng-Hsin
Ju, Shiaw-En
AFRICAN JOURNAL OF BUSINESS MANAGEMENT, 2011, 5 (20): : 8150 - 8162

← 1 2 3 4 5 →