Arbitrage Pricing and Investment Performance in the Nigerian Capital Market
This paper applied the multi factor Arbitrage Pricing Theory to explore the relationship between investment performance and selected macroeconomic variables in the Nigerian Capital market. Thus, the general purpose was to test the applicability of the Arbitrage Pricing Theory on investment performance in the Nigerian Capital market while the specific objective was to examine the effect of inflation rate risk, interest rate risk, exchange rate volatility risk, money supply rate of change, real gross domestic product and treasury bill rate on investment performance in the Nigerian Capital market. We extracted thirty-year (1988-2017) panel data from Central Bank of Nigeria Statistical Bulletin and published annual reports of five quoted companies in the Nigerian Stock Exchange for the dependent variable earnings per share which is proxy for investment performance. Five models were specified to express the relationship between the independent variables and the dependent variable for five quoted companies in the Nigerian Stock Exchange. The models were estimated using the Ordinary Least Square Regression analysis and the global utility of the models were evaluated. On the basis of our analysis, we found that investment performance for the Nigerian Capital market does not toe the line of the objectives of the Arbitrage Pricing Theory as the selected macroeconomic risk factors not strongly explain investment performance. We therefore recommended vibrant and stable macroeconomic policies aimed at managing market realities in the capital market, good governance free of corruption, interest rate stability,, among others as panacea for investment performance in the Nigerian Capital Market
Year of publication: |
2020
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Authors: | Mark-Egart, Dorah Budonyefa |
Publisher: |
[2020]: [S.l.] : SSRN |
Subject: | Nigeria | Finanzmarkt | Financial market | Arbitrage Pricing | Arbitrage pricing |
Saved in:
freely available
Extent: | 1 Online-Ressource (20 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 3, 2020 erstellt |
Other identifiers: | 10.2139/ssrn.3548208 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012840250
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