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Size and liquidity effects in Nigeria: An Industrial sector study

Size and liquidity effects in Nigeria: An Industrial sector study
Size and liquidity effects in Nigeria: An Industrial sector study
This study estimates liquidity premiums using the recently developed Liu (2006) measure within a multifactor capital asset pricing model (CAPM) including size premiums and a time varying parameter model for the West African emerging market of Nigeria. The evidence suggests that liquidity factors are relevant only for financial and basic materials sector stocks while size factor is more generally relevant in explaining the cross section of stock returns in the Nigerian domestic equity market. Costs of equity estimates are high further underlining the limitations of this market as a capital-raising venue in contrast to the dominant banking sector
1548-2278
1-30
Hearn, Bruce
45dccea3-9631-4e5e-914c-385896674dc2
Hearn, Bruce
45dccea3-9631-4e5e-914c-385896674dc2

Hearn, Bruce (2014) Size and liquidity effects in Nigeria: An Industrial sector study. The Journal of Developing Areas, 48 (3), 1-30. (doi:10.1353/jda.2014.0047).

Record type: Article

Abstract

This study estimates liquidity premiums using the recently developed Liu (2006) measure within a multifactor capital asset pricing model (CAPM) including size premiums and a time varying parameter model for the West African emerging market of Nigeria. The evidence suggests that liquidity factors are relevant only for financial and basic materials sector stocks while size factor is more generally relevant in explaining the cross section of stock returns in the Nigerian domestic equity market. Costs of equity estimates are high further underlining the limitations of this market as a capital-raising venue in contrast to the dominant banking sector

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Chap1BHearnRF 5-Mar-2014 - Accepted Manuscript
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Published date: 1 July 2014

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Local EPrints ID: 423296
URI: http://eprints.soton.ac.uk/id/eprint/423296
ISSN: 1548-2278
PURE UUID: b0cbbb04-49c6-4389-aa57-097330e6078e
ORCID for Bruce Hearn: ORCID iD orcid.org/0000-0001-9767-0198

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Date deposited: 20 Sep 2018 16:30
Last modified: 06 Aug 2020 16:33

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Author: Bruce Hearn ORCID iD

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