Factor Premiums in Developing Stock Markets: Evidence from Nairobi Securities Exchange
This study tests the Fama-French 5-factor asset pricing model in a developing stock market. The purpose is to investigate whether the size, value, profitability, and investment factor premiums exist in the Nairobi Securities Exchange (NSE). The test results of the Fama-French 5-factor model are compared with those of the Capital Asset Pricing Model (CAPM). Using monthly stock data for July 2009 to