New Asset Pricing Model Reveals Better Risk-Return Trade-offs in Nigerian Stock Market
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, is better than just using the market portfolio alone. Non-synchronous trading can help investors diversify their risks, but it also makes market risk higher. Overall, considering market skewness can help reduce the impact of market changes on portfolio returns.