Moderating Effect of Tactical Asset Allocation on the Risk-Return Relationship in the Nigerian Stock Market
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 portf...
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| Format: | Article |
| Language: | deu |
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Institute of Accounting and Finance
2023-06-01
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| Series: | Облік і фінанси |
| Subjects: | |
| Online Access: | http://www.afj.org.ua/pdf/988-moderuyuchiy-vpliv-taktichnogo-rozpodilu-aktiviv-na-spivvidnoshennya-riziku-i-pributku-na-fondovomu-rinku-nigerii.pdf |
| _version_ | 1797774689773289472 |
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| author | Yusuf Olatunji Oyedeko Olusola Segun Kolawole Regina Samson Olena Voloshyna |
| author_facet | Yusuf Olatunji Oyedeko Olusola Segun Kolawole Regina Samson Olena Voloshyna |
| author_sort | Yusuf Olatunji Oyedeko |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-03-12T22:24:46Z |
| format | Article |
| id | doaj.art-849d69c7932e4353b41565673957a1db |
| institution | Directory Open Access Journal |
| issn | 2307-9878 2518-1181 |
| language | deu |
| last_indexed | 2024-03-12T22:24:46Z |
| publishDate | 2023-06-01 |
| publisher | Institute of Accounting and Finance |
| record_format | Article |
| series | Облік і фінанси |
| spelling | doaj.art-849d69c7932e4353b41565673957a1db2023-07-22T11:52:24ZdeuInstitute of Accounting and FinanceОблік і фінанси2307-98782518-11812023-06-012(100)839110.33146/2307-9878-2023-2(100)-83-91Moderating Effect of Tactical Asset Allocation on the Risk-Return Relationship in the Nigerian Stock MarketYusuf Olatunji Oyedeko0https://orcid.org/0000-0002-1513-7064Olusola Segun Kolawole1https://orcid.org/0000-0001-6207-8485Regina Samson2https://orcid.org/0009-0005-5931-4906Olena Voloshyna3https://orcid.org/0000-0001-8793-2369Federal University Oye-Ekiti, Oye-Ekiti, NigeriaBabcock University, Ilishan-Remo, NigeriaUniversity of Abuja, Abuja, Nigeria“Institute of Agrarian Economics” National Scientific Centre, Kyiv, UkraineBefore 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.http://www.afj.org.ua/pdf/988-moderuyuchiy-vpliv-taktichnogo-rozpodilu-aktiviv-na-spivvidnoshennya-riziku-i-pributku-na-fondovomu-rinku-nigerii.pdfriskreturntactical asset allocationcoff5fhmff5f |
| spellingShingle | Yusuf Olatunji Oyedeko Olusola Segun Kolawole Regina Samson Olena Voloshyna Moderating Effect of Tactical Asset Allocation on the Risk-Return Relationship in the Nigerian Stock Market Облік і фінанси risk return tactical asset allocation coff5f hmff5f |
| title | Moderating Effect of Tactical Asset Allocation on the Risk-Return Relationship in the Nigerian Stock Market |
| title_full | Moderating Effect of Tactical Asset Allocation on the Risk-Return Relationship in the Nigerian Stock Market |
| title_fullStr | Moderating Effect of Tactical Asset Allocation on the Risk-Return Relationship in the Nigerian Stock Market |
| title_full_unstemmed | Moderating Effect of Tactical Asset Allocation on the Risk-Return Relationship in the Nigerian Stock Market |
| title_short | Moderating Effect of Tactical Asset Allocation on the Risk-Return Relationship in the Nigerian Stock Market |
| title_sort | moderating effect of tactical asset allocation on the risk return relationship in the nigerian stock market |
| topic | risk return tactical asset allocation coff5f hmff5f |
| url | http://www.afj.org.ua/pdf/988-moderuyuchiy-vpliv-taktichnogo-rozpodilu-aktiviv-na-spivvidnoshennya-riziku-i-pributku-na-fondovomu-rinku-nigerii.pdf |
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