Size and Liquidity Effects in African Frontier Equity Markets

Hearn, Bruce (2012) Size and Liquidity Effects in African Frontier Equity Markets. Applied Financial Economics, 22 (9). pp. 681-707. ISSN 0960-3107

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Abstract

This study contrasts the effectiveness of the capital asset pricing model (CAPM) against more recent augmented variants including size and book-to-market factors (Fama and French, 1993), liquidity (Liu, 2006) as well as both size and liquidity factors of Martinez et al (2005) in explaining average returns in industry portfolios across Sub Saharan Africa (SSA) excluding South Africa. This draws on a unique sample set of stocks from main board of Mauritius, local Namibian market, Botswana, Kenya, Nigeria, Ghana and Cote d’Ivoire’s BRVM. The evidence suggests that both size and liquidity factors are important in explaining average returns which is supported by extending the analysis using time varying coefficient Kalman filter techniques that reveal liquidity effects in all SSA markets while substantial size effects are present in Namibia and Zambia.

Item Type: Article
Schools and Departments: School of Business, Management and Economics > Business and Management
Subjects: H Social Sciences > HG Finance > HG3810 Foreign exchange. International finance. International monetary system
H Social Sciences > HG Finance > HG4001 Finance management. Business finance. Corporation finance
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Depositing User: Bruce Hearn
Date Deposited: 24 Apr 2012 11:27
Last Modified: 26 Jun 2013 14:26
URI: http://sro.sussex.ac.uk/id/eprint/38150

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