Testing Fama-French Factors in a Thin Market: Evidence from NGX-Listed Banks
“The regression results indicate that bank returns move closely with the broader market and, to a lesser extent, with company size.”
AssetEquities
StrategyValue investingliquidity premium
TechniqueLinear factor model
GeographyEurope
Also stated: 2022–2026, Fundamentals
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodValue investing by year
FamilyValue investing106Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 896
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