Liquidity and Valuation in East African Securities Markets

Hearn, Bruce (2009) Liquidity and Valuation in East African Securities Markets. South African Journal of Economics, 77 (4). pp. 553-576. ISSN 0038-2280

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Abstract

This study estimates liquidity premiums using the recently developed Liu measure within a
multifactor capital asset pricing model including size premiums and a time-varying parameter
model for the East African emerging markets of Uganda, Tanzania and Kenya together with London and South Africa. The evidence suggests that while size and liquidity effects are significant in the smaller emerging markets of Uganda and Kenya, they are less important in explaining returns in South Africa and London. Costs of equity are highest in Uganda followed by Kenya, with industrial and consumer non-cyclical sectors being lowest, and then South Africa and
London.

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: 23 Apr 2012 14:46
Last Modified: 07 Mar 2017 09:22
URI: http://sro.sussex.ac.uk/id/eprint/38185

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