EFFECT OF FIRM SIZE ON EXPECTED RETURNS OF LISTED COMPANIES IN NIGERIA CAPITAL MARKET

Abstract

Over the years, Nigeria capital market has experienced persistent decrease in performance. Investment decision is one of the key corporate decisions that affect firm financial performance. This study investigated the effect of firm size on expected returns of listed companies in Nigeria. The population of the study is all the listed companies in Nigeria. Adjusted population of 103 companies was used for data analysis. The period of the study is between 2010 and 2018. Monthly stock data were extracted from Bloomberg. Cross sectional regression and z-test technique were used as technique for data analysis. The outcome from the regression revealed that firm size has positive significant relationship with expected returns. The z-test analysis revealed that larger size firms have higher return than smaller size firms. The outcome was consistent with product life cycle theory. It was recommended that companies increase firm size by adopting profit maximization policy and issuing more equity.