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dc.contributor.authorFatoki, Olanrewaju I
dc.date.accessioned2022-06-27T10:14:34Z
dc.date.available2022-06-27T10:14:34Z
dc.date.issued2019
dc.identifier.urihttp://repository.kca.ac.ke/handle/123456789/776
dc.description.abstractWe 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.en_US
dc.language.isoenen_US
dc.publisherResearch Gateen_US
dc.subjectValue premium; Momentum Premium; Three-factor model; Four-factor model; JEL classification: G12en_US
dc.titleAn Examination of the Existence of Momentum Profit in the Nigerian Market using the Modified Cahart Four-Factor Modelen_US
dc.typeArticleen_US


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