An augmented capital asset pricing model: Liquidity and stock size in African emerging financial markets
An augmented capital asset pricing model: Liquidity and stock size in African emerging financial markets
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.
45-73
Hearn, Bruce
45dccea3-9631-4e5e-914c-385896674dc2
Piesse, Jenifer
b85393d2-b4ae-49f2-87cd-8b5007c99e97
1 January 2009
Hearn, Bruce
45dccea3-9631-4e5e-914c-385896674dc2
Piesse, Jenifer
b85393d2-b4ae-49f2-87cd-8b5007c99e97
Hearn, Bruce and Piesse, Jenifer
(2009)
An augmented capital asset pricing model: Liquidity and stock size in African emerging financial markets.
The African Finance Journal, Special Issue 1, .
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.
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Liquidity CAPM AFJ 2009
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Published date: 1 January 2009
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Local EPrints ID: 423294
URI: http://eprints.soton.ac.uk/id/eprint/423294
ISSN: 1605-9786
PURE UUID: 94baa65a-6f8e-41f0-80b6-d0b618ba2bec
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Date deposited: 20 Sep 2018 16:30
Last modified: 16 Mar 2024 04:37
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Author:
Jenifer Piesse
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