Empirical Analysis of the Risk-Return Characteristics of the Quoted Firms in the Nigerian Stock Market

1
Dr.Abdullahi Ibrahim Bello
Dr.Abdullahi Ibrahim Bello
2
Lawal Wahab Adedokun
Lawal Wahab Adedokun
1 University of Ilorin, Nigeria

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This study empirically investigates the risk-return dynamics of the Nigerian quoted firms for the period of 2000-2004 as monthly. The objective of study is to establish what determines the systematic risk (beta) of firms, the magnitude of such risk (beta) associated with returns in the Nigerian Stock Market. This study employed Ordinary Least Squares (OLS) procedure to estimate the regression in order to obtain the systematic risk (beta) of each of the firm. In addition, market model was used to estimate returns of the firms. This study revealed that the sizes of risks (betas) are different in firms studied; they varied positively with the sizes of returns. In addition, 65% of the firms’ risk (beta) is statistically significant at 1% and 5% level and most of the firms’ risks (betas) are less than Unity, which imply lower risk as compared to Market Portfolio. More importantly, most of firms’ betas are positive; suggesting limited scope for diversification in the Nigerian Stock Market. The outcome of this study conformed to similar studies in the emerging stock markets..

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No external funding was declared for this work.

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The authors declare no conflict of interest.

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Dr.Abdullahi Ibrahim Bello. 1970. \u201cEmpirical Analysis of the Risk-Return Characteristics of the Quoted Firms in the Nigerian Stock Market\u201d. Global Journal of Management and Business Research - B: Economic & Commerce GJMBR-B Volume 11 (GJMBR Volume 11 Issue B8): .

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GJMBR Volume 11 Issue B8
Pg. 53- 60
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Crossref Journal DOI 10.17406/GJMBR

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This study empirically investigates the risk-return dynamics of the Nigerian quoted firms for the period of 2000-2004 as monthly. The objective of study is to establish what determines the systematic risk (beta) of firms, the magnitude of such risk (beta) associated with returns in the Nigerian Stock Market. This study employed Ordinary Least Squares (OLS) procedure to estimate the regression in order to obtain the systematic risk (beta) of each of the firm. In addition, market model was used to estimate returns of the firms. This study revealed that the sizes of risks (betas) are different in firms studied; they varied positively with the sizes of returns. In addition, 65% of the firms’ risk (beta) is statistically significant at 1% and 5% level and most of the firms’ risks (betas) are less than Unity, which imply lower risk as compared to Market Portfolio. More importantly, most of firms’ betas are positive; suggesting limited scope for diversification in the Nigerian Stock Market. The outcome of this study conformed to similar studies in the emerging stock markets..

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Empirical Analysis of the Risk-Return Characteristics of the Quoted Firms in the Nigerian Stock Market

Dr.Abdullahi Ibrahim Bello
Dr.Abdullahi Ibrahim Bello University of Ilorin, Nigeria
Lawal Wahab Adedokun
Lawal Wahab Adedokun

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