asset pricing model (CAPM) including size premiums and a time varying parameter model for the West African emerging market … stocks while size factor is more generally relevant in explaining the cross section of stock returns in the Nigerian domestic …

asset pricing model (CAPM) including size premiums and a time varying parameter model for the West African emerging market … stocks while size factor is more generally relevant in explaining the cross section of stock returns in the Nigerian domestic …

surrounding, and outside of, financial crises. The analysis focuses on the variables of size, book-to-market ratio, momentum … important role in determining the cross-section of stock returns. Size, value, momentum, and liquidity also exhibit associations …

/methodology/approach – Cross-sectional regressions of monthly stock returns on well-known pricing factors including firm size, book-to-market (B … governance and disclosure may be of more concern to investors than pricing factors such as size, liquidity and past returns in … Unlisted stocks and is the first paper to jointly test the explanatory power of size, B/M, past returns and liquidity factors …

small and less liquid firms generate positive risk premia after controlling for market returns and firm size. We find no …