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Purpose: Equity markets have always fascinated and challenged financial researchers with their complexities and broad implications. This Study investigated the effect of profitability measures and investment factors on the Equity Premium of companies listed on the Nairobi Securities Exchange (NSE) from 2011 to 2022. Design/ Methodology/Approach: The research design used in this study was the time series regression approach of Black, Jensen, and Scholes (1972). The target population comprises companies in the Nairobi Securities Exchange (NSE). Secondary data was obtained from the NSE database. This study used panel data from over ten years of cross-section analysis. An autoregressive integrated moving average model (ARIMA) of controlled variables methodology was used on the FamaMac Beth portfolio formation. Findings: The finding implied a significant relationship between profitability and the Equity Premium of listed companies on the Nairobi Securities Exchange during the period of Study. The Study found no significant relationship between investment policies and the Equity Premium of listed companies on the Nairobi Securities Exchange (NSE). There was significant relationship between trading volume as measured by liquidity and the Equity Premium of listed companies on the Nairobi Securities Exchange. Implications/Originality/Value: The study will be helpful to those who seek to rebalance their portfolios, given the Fama French Model factors. Regulators and the policymakers could adopt appropriate policies to limit the damage to the real economy.

Purpose: To what extend does firm size moderates’ relationship between manufacturing firms’ financial performance and financial uncertainty indicators. This was necessitated below expectation performance of manufacturing firms in Kenya. They are expected to employ 30% of Kenya population, contribute to Gross domestic product up to 10% and attract at least 10% of large investor. This has not been possible in the last 12 years. Design/Methodology/Approach: The study adapted descriptive design. Study was done in Kenya for manufacturing firms registered under Kenya Association of Manufacturers (KAM) for period between 2009 to 2020. Total population was 856 with a sample size of 90 firms chosen using stratified and them random sampling. Indicators were Return on Equity, trade credit uncertainty, Liquidity uncertainty, Leverage uncertainty, operational cost uncertainty and Logarithm of total asset’ Findings: Firm size moderates relationship between financial uncertainty indicators and financial performance of manufacturing firms in Kenya. Firm size negatively and significantly affected performance. Though moderation was not significant, but it strengthened relationship between variables. Implications/Originality/Value: Firm size should be monitored since it significantly affected financial performance of manufacturing firms in Kenya. Firm assets should not be financed by leverage since it had significant negative relationship with financial performance.

Purpose:Prior literature has focused on the direct effect of firm level fundamental characteristics on stock returns while ignoring the likely effect of investor irrationality on asset pricing decisions. The purpose of this study is to investigate the role of investor sentiment in the relationship between value risk premium and stock returns in Kenya. Design/methodology/approach: The study utilized monthly time series data for 60 companies listed at the NSE over the recent 9 years from 2011-2019. The study employed time series regression using ARDL and VEC estimation techniques to examine whether the effect of value risk on stock returns will vary with level of investor sentiment. Findings: Results show weak evidence for existence of value risk premium at the NSE using the main effects model. The pricing effect of value risk premium is however enhanced in the interaction model. The interaction though not significant implying that there is no moderating effect of sentiment. Research limitations: The shorter nine-year period considered by the study could be a source of small sample bias in the estimation. Sample periods for studies in mature markets span for over decades. In this light, making comparison of the findings in this thesis with those of other related studies may not be feasible. Originality/Value: This study is first of its kind to analyze the moderating effect of investor behavior on asset pricing for an emerging market. The paper contributes to portfolio management and asset pricing literature for emerging markets.

Resiliency provides fundamental insights on the speed at which the marginal price impact increases as transaction volume increases in the stock market yet very few empirical research has been dedicated to its study. Consequently, this study was directed towards determining whether market resiliency is a predicator of economic growth. Secondly, the study also sought to examine whether real interest rate and risk premium moderate the relationship between stock market resiliency and the economic growth in Kenya. To solve the conundrum on the relationship between market resiliency and economic resiliency growth, a sagacious moderating regression analysis (MRA) was used. The liquidity and variance ratios were used as measures of resiliency while real interest rate and risk premium were taken as moderating variables. The CUSUM plots were used to determine the stability of the model. The results of this study shows that market resiliency is a predicator of economic growth and both real interest rates and risk premium moderates the relationship between stock market resilience and the economic growth in Kenya.