The Effects of Film Size on Risk and Return in the Nigerian Stock Market

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Date

2011

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Department of Business Administration, Ibrahim Badamasi Babangida University, Lapai, Niger State

Abstract

Capital Market theory is concerned with the equilibrium relationship between risk and expected return on risky assets. Within this framework, this paper seeks to empirically examine the effect of sectoral size (sectoral capitalization) on risk and expected return for the period of 2000-2004 as monthly. This study employed multi-factor model (Arbitrage Pricing Theory) in analysing the effects of sectoral size all. the risks and returns, using Ordinary Least Square (OLS) estimation procedure. 771is study revealed that the size of firm or sector has no significant effect on either firm or sectoral return or risk ill the Nigerian Stock Market. The results are broadly consistent with similar studies for most developed and emerging economies (see: Funga and Leug 2000; Fernald and Rogers 2002; Barry 2002; Fan, Lu & Wang 2009; and Abdullahi 201I).

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Keywords

Firm size, Risk and Return, Arbitrage Pricing Theory (APT), Nigerian Stock Market

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