Effects of Firm Level Attributes on Stock Returns in Nigeria

This study set out to examine the effects of firm level attributes on stock returns of top twenty-five most capitalized quoted equity firms in Nigeria. Emerging markets have different structure and institutional characteristics from developed stock markets, and in view of the fact that investors are interested in getting more insights into the activities of blue chip companies, it is imperative to find out whether stock returns in Nigeria respond differently to effects of firm level attributes factors or not. Hence, the study investigated the effects of firm size, ratio of market to book value per share, and price to earnings ratio on stock returns of selected quoted firms in Nigeria from 2007 – 2016. The population comprises top twenty-five most capitalized quoted equity firms, out of which twenty-one companies represent the sample of the study. The study adopted ex-post facto research design. The study used secondary data obtained from the audited accounts of the sampled firms, Central Bank of Nigeria Statistical Bulletin and the Nigerian Stock Exchange database and website. Analysis of data was carried out using panel data regression. The panel regression results indicate significant positive effect between ratio of market to book value per share and stock returns in Nigeria, and insignificant negative effect between firm size and stock returns in Nigeria. A further regression result indicates insignificant positive effect between price to earnings ratio and stock returns of selected quoted companies in Nigeria. The study recommends among others, monitoring and surveillance by the Securities and Exchange Commission, careful use of market to book value per share ratio by investors, determination of correct and comparable earnings per share by investors and investment analysts.