The Investment Performance of Common Stocks in Nigeria. Tests of Finance Theories

      Аннотация: The study considers the investment performance of common stocks (also known as equities) in Nigeria. The underlying finance theories include the Miller-Modigliani (MM) theory, capital asset pricing model (CAPM), the information content of dividends, relationship between common stock returns and systematic factors, the price-earnings ratio and growth potential puzzle and the inflation-hedging capacity of common stocks. The study utilized panel data least squares regression models. The results were mixed with respect to the empirical conformity of the seminal theories. While MM Proposition I holds, the results show weak portability of the MM Proposition II. The CAPM lacks empirical support on the Nigerian Stock Exchange (NSE). The information content of dividends theory has strong empirical support. The study also finds strong support for the interaction between common stocks and macroeconomic factors such as industrial production index, term spread and risk premium. The relationship between price-earnings and growth was weak. Finally, common stocks were found to be effective in hedging against expected inflation but poor hedgers against unexpected inflation.

Ключевые слова: Capital Structure, debt maturity, taxes, Firm-specific and industry characteristics, Non-financial stakeholders, Supply-side factors