Open AccessTrading Volume and Fama-French Three Factor Model on Excess Return. Empirical Evidence from Nairobi Security Exchange
Author(s) -
Opuodho Gordon Ochere,
Nasieku Tabitha,
Olweny Tobias O
Publication year - 2018
Publication title -
european scientific journal
Language(s) - English
Resource type - Journals
eISSN - 1857-7881
pISSN - 1857-7431
DOI - 10.19044/esj.2018.v14n22p276
Subject(s) - heteroscedasticity , explanatory power , econometrics , autocorrelation , economics , volume (thermodynamics) , descriptive statistics , regression analysis , financial economics , risk premium , statistics , mathematics , quantum mechanics , philosophy , physics , epistemology
The main objective of this paper is to examine the effect of Trading Volume on excess return using the Fama-French three factor model of listed companies in Kenya. The research study employed a Quantitative research design to analyses the effect of Trading Volume on excess returns in Nairobi Security Exchange (NSE) during the period 2006 to 2015. Secondary data was used for this study. The study utilized descriptive statistics, correlation, unit root test, Heteroscedasticity, and Autocorrelation test as diagnostic tests. The regression results revealed that Market premium and Value premium (HML) and Trading Volume have a high explanatory power while the size premium (SMB) has a low explanatory power.