Empirical proof of the CAPM with higher order comoments in Nigerian stock market: The conditional and unconditional based tests
Empirical proof of the CAPM with higher order comoments in Nigerian stock market: The conditional and unconditional based tests
This study examines the significance of the risk factors in the CAPM with higher order co-moments using a two-pass methodological technique of Fama and Macbeth. Stock prices of 53 companies out of the 207 listed in Nigerian Stock Exchange (NSE) for a sample period January 2003 to December 2011 are analyzed. The study particularly augments the model using unconditional and conditional information. The unconditional test reveals that only the co-skewness risk is priced while the covariance and co-