The main objective of this paper is to examine the effect of Bid Ask spread on excess return of listed companies in Kenya. The research study employed a Quantitative research design to analyses the effect of Bid Ask spread on excess returns in Nairobi Security Exchange (NSE) during the period 2006 to 2015. Secondary data was used for this study. The study utilized descriptive statistics, correlation, unit root test, Heteroscedasticity, and Autocorrelation test as diagnostic tests. The regression results revealed that Market premium and Value premium (HML) are statistically significant in explaining excess return. The size premium (SMB) and Bid Ask spread are statistically insignificant.
ISSN: 2241-0996 (Online)