Market Liquidity and Stock Size Premia in Emerging Financial Markets

Hearn, Bruce, Piesse, Jenifer and Strange, Roger (2010) Market Liquidity and Stock Size Premia in Emerging Financial Markets. Macroeconomics and Finance in Emerging Market Economies, 3 (1). pp. 75-101. ISSN 1752-0843

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Abstract

This paper estimates the cost of equity in South Africa, Kenya, Egypt and Morocco as well as the UK. Active investor participation in emerging markets is contingent on solid regulation and corporate governance that provide transparency in information and equity prices. Costs of equity, taking account of firm size and illiquidity, enable comparison of transactions costs between markets. The evidence suggests a clear distinction between markets with different levels of regulation and corporate governance. The UK and South Africa have the lowest cost of equity followed by Egypt and Morocco and then Kenya, where the fledgling AIMS market has the highest value.

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 08:15
Last Modified: 12 Dec 2012 17:58
URI: http://sro.sussex.ac.uk/id/eprint/38168
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