An Augmented Capital Asset Pricing Model: Liquidity and Stock Size in African Emerging Financial Markets

Hearn, Bruce and Piesse, Jenifer (2009) An Augmented Capital Asset Pricing Model: Liquidity and Stock Size in African Emerging Financial Markets. African Finance Journal, SP.

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Abstract

This paper uses the illiquidity measure of Amihud (2002) in forming illiquidity estimates for South Africa, Kenya, Morocco, Egypt and London. These are used within an augmented CAPM framework to form risk firm illiquidity premiums in addition to premiums attributable to firm size. The evidence suggests that London and Johannesburg have the lowest cost of equity followed by Morocco and Egypt. While Kenya has the highest cost of equity the costs associated with a Main board listing are less than one third than those encountered on the fledgling Alternative Investment Market raising policy questions concerning the development of alternative markets.

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 11:07
Last Modified: 07 Mar 2017 09:20
URI: http://sro.sussex.ac.uk/id/eprint/38154

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