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Central Bank of Nigeria

Journal

2017

Consumption Growth

Articles 1 - 1 of 1

Full-Text Articles in Business

The Consumption-Oriented Capital Asset Pricing Model In The Nigerian Stock Exchange, Abidemi C. Adegboye Dec 2017

The Consumption-Oriented Capital Asset Pricing Model In The Nigerian Stock Exchange, Abidemi C. Adegboye

CBN Journal of Applied Statistics (JAS)

In this study, the Consumption-oriented Capital Asset Pricing Model (CCAPM) is tested for Nigeria by considering returns on investments in the Nigerian Stock Exchange market and other financial assets for the period 1993: Q1 to 2016:Q4. Three tests are conducted. The first test examines forecast performance of excess returns for the selected portfolios in predicting future consumption; the second test estimates the consumption betas for the set of assets using two alternative formulations of the CCAPM; and the third test included consumption growth variable in a multifactor risk analysis to compare with the basic CAPM formulations. The empirical results indicates …