Abstract
This study seeks to investigate the application of FF3FM in the Nigerian stock market. The study examined the behaviour of stock returns in relation to market beta, firm size (market equity), and book-to-market equity (BE/ME) factors. Sixty- eight (68) sample size was selected from all stocks quoted on the Nigerian Stock Exchange (NSE) from 2013 to 2022. Time series regression analysis was adopted. Monthly excess portfolio returns were regressed on firm size, excess market returns and book-to-market-equity ratio. The findings showed a strong correlation between book-to-market equity variables, firm size, and excess stock market returns and predicted portfolio returns. This suggests that the variation in stock returns in the Nigerian stock market can be explained by the FF3FM.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callMore From: European Journal of Accounting, Auditing and Finance Research
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
