The size effect at the Nairobi stock exchange (nse) An empirical investigation
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Date
2003Author
Ndung'u, Moses Sammy
Type
ThesisLanguage
enMetadata
Show full item recordAbstract
The size effect is one of the best known academic market anomalies.
There have been a considerable number of empirical studies that have
found a relationship between equity returns and the size of a firm.
Collaborating results of Fama and French (1992) indicates that there is
regression indicating a positive linear relationship between stock returns and
size. '
This study aims at examining the role of firm size in explaining the
cross-section of average stock returns in Kenya over the period 1991 -
2002. For purposes of this study secondary data is obtained predominantly
from 53 quoted companies on the Nairobi Stock Exchange (NSE).
The objective of the study was to determine whether firm size
influences returns on investment portfolio in Nairobi Stock Exchange. The
daily stock return data is not well documented in the Nairobi stock exchange
records for the years prior to 1996. In our analysis therefore, we used the
weekly returns for the period between 1996 and 2002, to compute the
excess returns and also the outstanding number of shares at the end of
each year under consideration to compute the market values.
The finding of this study was that the size effect is weakly exhibited in
the' Nairobi stock exchange and more studies should be done in this area.
Citation
Masters of business administrationSponsorhip
University of NairobiPublisher
School of business,University of Nairobi