Size, Value and Momentum: An Evidence from the Nigerian Stock Market

Abstract:

We document the existence of size and value effects in relation to common risk factors in the Nigeria stock market. Empirically, we find that small-stock components of traditional value and momentum factors capture the patterns of return on strategies portfolio building in the stock market and size-effects models substantial outperform the average return of the market. We finally develop a simple method to isolate periods where style tilts are likely to be particularly effective.