Received:
2020-05-18 | Accepted:
2020-10-10 | Published:
2020-12-30
Title
Empirical test of capital asset pricing model on securities return of listed firms in Nigeria
Abstract
This paper applied the capital-asset pricing model (CAPM) to determine stock returns of listed firms in the Nigeria Stock Exchange (NSE). For the purpose of investigation, annual data on stock price of twenty six (26) listed firms, Treasury bill a measure of risk- free rate and all share indexes a proxy for market returns were extracted while beta value was computed for the period 2010 to 2016 upon which the model was analyzed. Finding indicates that the CAPM generated a very high return among the firms given the influence of the beta coefficient. The study concludes that higher market risk measured by beta, is associated with higher expected returns. It is therefore recommended that managers of firms in other sectors in Nigeria need to constantly use this model to price security return with a view to guiding investors at investing in securities based on risk preference behavior and also to enable them maximize wealth from a basket of portfolio.
Keywords
market returns, treasury bill, beta, covariance, security return, stock returns
JEL classifications
G12
, E40
URI
http://jssidoi.org/ird/article/56
DOI
HAL
Pages
825-836
Funding
This is an open access issue and all published articles are licensed under a
Creative Commons Attribution 4.0 International License
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