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The paper concentrates on value and size effects in country portfolios. It contributes to academic literature threefold. First, I provide fresh evidence that the value and size effects may be useful in explaining the cross-sectional variation in country returns. The computations are based on a broad sample of 66 countries in years 2000-2013. Second, I document that the country-level value and size effects are indifferent to currency conversions. Finally, I introduce an alternative macro-level Fama-French model, which, contrary to its prototype, employs country-based factors. I show that applying this modification makes the model more successful in evaluation of funds with global investment mandate than the standard CAPM and FF models.

The study investigated the operational efficiency of the Nigerian stock market between 1986-2010. This was necessary given the degree of thinness of the market.  The objectives of the study were: to investigate the extent to which the operations of the market have contributed to the growth of the Nigerian economy and also to determine the functionality of the market. To achieve these objectives  data were gathered on some capital market indicators from the stock exchange factbook  of various years on market capitalization (MCAP), all share index (ASI) volume of transaction (VOLT) value of transaction (VALT) and number of listed companies (NLC) on the stock exchange.  The data were tabulated, analyzed and tested using the ordinary least square statistical technique. Findings resulting from the test of data showed that NLC, VOLT, VALT, ASI and MCAP were positive and that increase in any of the above parameters  would in turn cause an increase in the growth of the Nigerian economy at five and ten  percent levels of significance.  It further showed that  the market was operationally weak form efficient. It was therefore recommended that government should continue to provide better macro-economic environment for the private sector to lead the economy on the part of sustainable growth and development.

The paper concentrates on the value premium across countries and contributes to the investment and asset pricing literature in three ways. First, I provide fresh evidence that the high-value countries perform significantly better than the low-value countries. Additionally, this phenomenon is indifferent to the choice of the computational currency, representative index or value indicator. Second, I demonstrate that the value effect can be successfully amplified by combining with country-level size and momentum effects. Third, I show that returns to the high-value countries deteriorate in financial crisis conditions, because the country-level value premium is negatively correlated with the credit spreads, TED spread and expected volatility. I examine data from 66 markets between years 2000 and 2013.