Moderating Effect of Tactical Asset Allocation on the Risk-Return Relationship in the Nigerian Stock Market
Journal Title: Oblik i finansi - Year 2023, Vol 1, Issue 2
Abstract
Before making investment decisions, the investor must find out the risk-return characteristics of investments with the help of investment strategies. These investment strategies, including drawdown, tactical asset allocation and short selling, are used by investors and fund managers to improve portfolio performance by maximizing returns and minimizing risks. This study aims to examine the moderating effect of tactical asset allocation on the risk-return relationship in the Nigerian stock market. The study sample is 90 stocks that are consistently traded in the Nigerian stock market within the period of sixteen years on a monthly basis. The study employed time series data which were extracted from the NGX website, annual financial statement, and CBN statistical bulletin. This study's data collection and analysis framework was based on the methodology of Fama and French (2015) using FamaMacbeth's two-step regression. The study used the difference between the logarithmic present value of the price and the previous value of the price to compute the return. Evidence from the result revealed that tactical asset allocation is not significantly priced under the CoFF5F and HMFF5F in the Nigerian stock market. Also, introducing tactical asset allocation as the moderating variable does not improve the relationship between risk and return in the Nigerian stock market. In light of this, the study concluded that tactical asset allocation could not be used to improve the relationship between risk and return through the minimization of risk and maximization of return in the Nigerian stock market. The study recommends that other investment strategies, such as drawdown, short selling etc., can be used by investors to improve the relationship between risk and return in the Nigerian stock market.
Authors and Affiliations
Yusuf Olatunji Oyedeko & Olusola Segun Kolawole & Regina Samson & Olena Voloshyna
Keywords
Related Articles
- EP ID EP719169
- DOI 10.33146/2307-9878-2023-2(100)-83-91
- Views 47
- Downloads 0
Conceptual Foundations for Providing Integrated Reporting Assurance
By encouraging businesses to report on sustainable development, information about the impact of companies' activities on the environment is becoming increasingly available to all stakeholders. Given that the integrated r...
The Effect of Sales Growth, Profitability and Leverage on Tax Avoidance with Firm Size as Moderating Variable
Beliefs about the rationality of economic agents and the predominantly controlling nature of tax policy may lead to the opinion that companies a priori do not want to pay taxes and are interested in keeping most of the i...
Objects of Intellectual Property Right in the Accounting System
The rapid introduction of software products and other objects of intellectual property rights in the context of the fourth industrial revolution requires the improvement of methodical approaches to identifying the costs...
Accounting of Biological Assets and Agricultural Production According to New National Accounting Standards
The article deals with the legal aspects of the recognition of biological assets and agricultural production. The classification of biological assets under the adopted legislative acts is introduced. The possibility of u...
The Effect of Clean Energy Financial Investment on Carbon Reduction
Accounting and finance are intricately intertwined with the global quest for environmental sustainability by applying accounting and finance tools for carbon reduction initiatives. Clean energy financial investment is on...