WSEAS Transactions on Business and Economics

Print ISSN: 1109-9526
E-ISSN: 2224-2899

Volume 16, 2019

Notice: As of 2014 and for the forthcoming years, the publication frequency/periodicity of WSEAS Journals is adapted to the 'continuously updated' model. What this means is that instead of being separated into issues, new papers will be added on a continuous basis, allowing a more regular flow and shorter publication times. The papers will appear in reverse order, therefore the most recent one will be on top.

Volume 16, 2019

An Examination of the Existence of Momentum Profit in the Nigerian Market using the Modified Cahart Four-Factor Model

AUTHORS: Ajayi Samuel Abiodun, Oloyede John Adebayo, Omankhanlen Alex Ehimare, Adeyeye Olufemi Patrick, Arewa Ajibola, Fatoki Olarenwaju Isola

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ABSTRACT: We examine whether the predictability of future returns from past returns is due to the presence of anomaly in Nigeria stock market using monthly returns of 60 equity stocks that were actively traded for the period of Jan 2012 to June 2016. Using the modified Cahart four-factor model with requisite value weight to test for momentum profits against the market factors performance. We document that the momentum profit exceeds that of the market factors and that non-market factors outperform that of the market factors. Financial analysts and researchers in predicting and formulating dependable risk-return of stock and portfolio could rely on this apparent superior model, as it provides a better explanatory power

KEYWORDS: Value premium; Momentum Premium; Three-factor model; Four-factor model; JEL classification: G12


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WSEAS Transactions on Business and Economics, ISSN / E-ISSN: 1109-9526 / 2224-2899, Volume 16, 2019, Art. #46, pp. 414-423

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