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Nicholas Addai Boamah

First Name: Nicholas Addai
Surname: Boamah
Department Dept of Applied Finance and Actuarial Studies
Supervisor(s): Dr Edward Watts , Asso. Prof. Geoff Loudon

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Paper Title

THE EXPLANATORY POWER OF FIRM SIZE AND BOOK-TO-MARKET ON AFRICAN EQUITY MARKETS

Purpose

This study explores the relationship between the cross-section of stock returns and firm size and book-to-market equity on emerging stock markets in Africa. It investigates any possible association that may exist between any observed size and book-to-market effects on the African markets.

Originality

The study makes a contribution to the emerging market asset pricing literature.

Design/methodology/approach

The investigation is carried out within the framework of Fama-French three factor model. Monthly returns are used in the study.

Findings

There exists independent small firm and value effect on the African stock markets. The observed size and value premia are significant practically and statistically.

Practical and Social implications

It will enhance investment decisions on the African markets.

Keywords

Market capitalization, Book-to-market equity, Stock returns, Emerging market