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Factor Premiums in Developing Stock Markets: Evidence from Nairobi Securities Exchange

Lindvall, Agnes LU (2020) NEKN02 20201
Department of Economics
Abstract
This study tests the Fama-French 5-factor asset pricing model in a developing stock market. The purpose is to investigate whether the size, value, profitability, and investment factor premiums exist in the Nairobi Securities Exchange (NSE). The test results of the Fama-French 5-factor model are compared with those of the Capital Asset Pricing Model (CAPM). Using monthly stock data for July 2009 to June 2019, value and profitability factors explain some variations in stock returns and improve the CAPM. Due to data insufficiency and limitations on the variables that affect the model, the existence of factor premiums in this market is inconclusive.
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author
Lindvall, Agnes LU
supervisor
organization
course
NEKN02 20201
year
type
H1 - Master's Degree (One Year)
subject
keywords
Asset Pricing Models, Fama-French 5-factor Model, Nairobi Securities Exchange, Factor Premium
language
English
id
9015355
date added to LUP
2020-08-29 11:18:43
date last changed
2020-08-29 11:18:43
@misc{9015355,
  abstract     = {{This study tests the Fama-French 5-factor asset pricing model in a developing stock market. The purpose is to investigate whether the size, value, profitability, and investment factor premiums exist in the Nairobi Securities Exchange (NSE). The test results of the Fama-French 5-factor model are compared with those of the Capital Asset Pricing Model (CAPM). Using monthly stock data for July 2009 to June 2019, value and profitability factors explain some variations in stock returns and improve the CAPM. Due to data insufficiency and limitations on the variables that affect the model, the existence of factor premiums in this market is inconclusive.}},
  author       = {{Lindvall, Agnes}},
  language     = {{eng}},
  note         = {{Student Paper}},
  title        = {{Factor Premiums in Developing Stock Markets: Evidence from Nairobi Securities Exchange}},
  year         = {{2020}},
}