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


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

Authors

Ogiugo, Henry Usunobun
Ajayi Crowther University, Abeokuta, Nigeria https://acu.edu.ng
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Adesuyi, Isaac Olufemi
Elizade University, Ilara-Mokin, Nigeria https://www.elizadeuniversity.edu.ng
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Ogbeide, Sunday Oseiweh
Elizade University, Ilara-Mokin, Nigeria https://www.elizadeuniversity.edu.ng
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Journal title

Insights into Regional Development

Volume

2


Number

4


Issue date

December 2020


Issue DOI


ISSN

ISSN 2345-0282 (online)


Publisher

VšĮ Entrepreneurship and Sustainability Center, Vilnius, Lithuania

Cited

Google Scholar

Article views & downloads

HTML views: 225  |  PDF downloads: 124

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