Sector level cost of equity in African financial markets
Sector level cost of equity in African financial markets
This paper assesses the effectiveness of Liu (2006) metrics in measuring illiquidity within a multifactor CAPM pricing model. Costs of equity are estimated using this model for the major sectors within Africa's larger equity markets: Morocco, Tunisia, Egypt, Kenya, Nigeria, Zambia, Botswana and South Africa. In all countries, the cost of equity is found to be highest in the financial sector and lowest in the blue chip stocks of Tunisia, Morocco, Namibia and South Africa. At an aggregate level, Nigeria and Zambia have the highest cost of capital.
Africa, Capital asset pricing model, Emerging financial markets, Liquidity
257-278
Hearn, Bruce
45dccea3-9631-4e5e-914c-385896674dc2
Piesse, Jenifer
b85393d2-b4ae-49f2-87cd-8b5007c99e97
December 2009
Hearn, Bruce
45dccea3-9631-4e5e-914c-385896674dc2
Piesse, Jenifer
b85393d2-b4ae-49f2-87cd-8b5007c99e97
Hearn, Bruce and Piesse, Jenifer
(2009)
Sector level cost of equity in African financial markets.
Emerging Markets Review, 10 (4), .
(doi:10.1016/j.ememar.2009.09.002).
Abstract
This paper assesses the effectiveness of Liu (2006) metrics in measuring illiquidity within a multifactor CAPM pricing model. Costs of equity are estimated using this model for the major sectors within Africa's larger equity markets: Morocco, Tunisia, Egypt, Kenya, Nigeria, Zambia, Botswana and South Africa. In all countries, the cost of equity is found to be highest in the financial sector and lowest in the blue chip stocks of Tunisia, Morocco, Namibia and South Africa. At an aggregate level, Nigeria and Zambia have the highest cost of capital.
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Accepted/In Press date: 11 September 2009
e-pub ahead of print date: 19 September 2009
Published date: December 2009
Keywords:
Africa, Capital asset pricing model, Emerging financial markets, Liquidity
Identifiers
Local EPrints ID: 423416
URI: http://eprints.soton.ac.uk/id/eprint/423416
ISSN: 1566-0141
PURE UUID: b625e710-2cb0-4251-874a-5cc7ef95495e
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Date deposited: 21 Sep 2018 16:30
Last modified: 16 Mar 2024 04:37
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Author:
Jenifer Piesse
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