Nicholas Addai Boamah
First Name: Nicholas Addai
Department Dept of Applied Finance and Actuarial Studies
Supervisor(s): Dr Edward Watts , Asso. Prof. Geoff Loudon
THE EXPLANATORY POWER OF FIRM SIZE AND BOOK-TO-MARKET ON AFRICAN EQUITY MARKETS
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.
The study makes a contribution to the emerging market asset pricing literature.
The investigation is carried out within the framework of Fama-French three factor model. Monthly returns are used in the study.
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.
Market capitalization, Book-to-market equity, Stock returns, Emerging market