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Do Investors Make Abnormal Returns Consistently? An Econometric Investigation in the Nigerian Capital Market

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  • Ayakeme Ebiwarefa Whisky
  • Chinedu B. Ezirim

Abstract

The study focused on the intriguingly interesting controversy whether ¡°investors can make abnormal return consistently in the Nigerian capital market?¡± It employs monthly return data in the Nigerian stock exchange to estimate a non-parametric model which shows that the observed z-statistic is larger than the critical at 5% in all the sub-periods and the overall period. The study thus concludes that investors can make abnormal returns in the Nigerian capital market.

Suggested Citation

  • Ayakeme Ebiwarefa Whisky & Chinedu B. Ezirim, 2014. "Do Investors Make Abnormal Returns Consistently? An Econometric Investigation in the Nigerian Capital Market," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 5(2), pages 115-120, April.
    • Handle: RePEc:jfr:ijfr11:v:5:y:2014:i:2:p:115-120
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    References listed on IDEAS

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    1. Ziobrowski Alan J & Boyd James W & Cheng Ping & Ziobrowski Brigitte J., 2011. "Abnormal Returns From the Common Stock Investments of Members of the U.S. House of Representatives," Business and Politics, De Gruyter, vol. 13(1), pages 1-24, April.
    2. John M. Maheu & Thomas H. McCurdy, 2007. "Components of Market Risk and Return," Journal of Financial Econometrics, Oxford University Press, vol. 5(4), pages 560-590, Fall.
    3. Ziobrowski, Alan J. & Boyd, James W. & Cheng, Ping & Ziobrowski, Brigitte J., 2011. "Abnormal Returns From the Common Stock Investments of Members of the U.S. House of Representatives," Business and Politics, Cambridge University Press, vol. 13(1), pages 1-22, April.
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