Do Investors Make Abnormal Returns Consistently? An Econometric Investigation in the Nigerian Capital Market

Abstract

The study focused on the intriguingly interesting controversy whether “investors can make abnormal return consistently in the Nigerian capital market?” It employs monthly return data in the Nigerian stock exchange to estimate a non-parametric model which shows that the observed z-statistic is larger than the critical at 5% in all the sub-periods and the overall period. The study thus concludes that investors can make abnormal returns in the Nigerian capital market.