New asset pricing model improves risk assessment for Nigerian Stock Exchange.
The study looked at how well a certain model predicts risk and return in the Nigerian Stock Exchange. They found that using a model with multiple factors, like market skewness and idiosyncratic volatility, works better than just using the market portfolio alone. Non-synchronous trading of stocks can lead to both more diversification benefits and higher market risk. Overall, considering factors like market skewness can help reduce the impact of market changes on portfolio returns.