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dc.contributor.authorThuku, Muthima S
dc.date.accessioned2013-02-28T09:50:30Z
dc.date.issued2009
dc.identifier.citationMBA Thesisen
dc.identifier.urihttp://erepository.uonbi.ac.ke:8080/xmlui/handle/123456789/12292
dc.description.abstractFama and French report a value premium of 7.86 % per annum on the universe of NYSE, AMEX and NASDAQ for the period 1963 to 1995. Loughran( 1997), however establishes that the value premium is driven by small cap stocks. In his study of the three stock exchanges he finds no book-to market effect for large cap stocks and that the largest book-to market effect occurs for the smallest cap stock. At the NSE Muhoro (2004) establishes the existence of a weak value premium and Ngigi (2006) reports no significant difference between value and growth stock. We set out to investigate the existence of value premium and the effect of size at the NSE. Our findings report the existence of value premium averaging 0.5 % per month on portfolio based on B/M ratio and 2.34% on portfolio based on E/P. Contrary to Loughran( 1997) findings we establish that the value premium at the NSE is driven by large cap firms which register a value premium excess of small cap firms by 1.01% monthly average return on portfolio based on B/M ratio. No substantial differences in findings are found whether portfolios are analysed based on B/M or E/P ratioen
dc.description.sponsorshipUniversity of Nairobien
dc.language.isoenen
dc.subjectSmall cap stocksen
dc.subjectPortfolio baseden
dc.subjectBook-to marketen
dc.titleValue premium and the effect of size: evidence from Nairobi stock exchangeen
dc.typeThesisen
local.publisherSchool of businessen


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