Journal of Business & Economic Policy

ISSN 2375-0766 (Print), 2375-0774 (Online) DOI: 10.30845/jbep

Premium Factors and the Risk-Return Trade-off in Asset Pricing: Evidence from the Nigerian Capital Market
Arewa, Ajibola; Ogbulu, Onyemachi Maxwell

The study presents an empirical investigation on the determination of priced risk factors and consideration of risk-return trade-off using monthly security data in the Nigerian stock market for the period of 2003 to 2011. The results show that the unconditional market factors are not priced but they maintain positive relationship with return except the systematic co-kurtosis while the effects of four latent size and value risk factors are evident in the market. However, one of the latent factors and value factor show negative relationship.

Full Text: PDF