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Liquidity and Valuation in East African Securities Markets
journal contribution
posted on 2023-06-08, 11:02 authored by Bruce HearnThis 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.
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Publication status
- Published
File Version
- Published version
Journal
South African Journal of EconomicsISSN
0038-2280Publisher
Economic Society of South AfricaExternal DOI
Issue
4Volume
77Page range
553-576Department affiliated with
- Business and Management Publications
Full text available
- No
Peer reviewed?
- Yes
Legacy Posted Date
2012-04-23First Compliant Deposit (FCD) Date
2012-02-24Usage metrics
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