Liquidity and valuation in East African securities markets
Liquidity and valuation in East African securities markets
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. Journal compilation
CAPM, East Africa, Emerging financial markets, Kalman filter, Liquidity
553-576
Hearn, Bruce
45dccea3-9631-4e5e-914c-385896674dc2
December 2009
Hearn, Bruce
45dccea3-9631-4e5e-914c-385896674dc2
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. Journal compilation
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e-pub ahead of print date: 24 November 2009
Published date: December 2009
Keywords:
CAPM, East Africa, Emerging financial markets, Kalman filter, Liquidity
Identifiers
Local EPrints ID: 423417
URI: http://eprints.soton.ac.uk/id/eprint/423417
ISSN: 0038-2280
PURE UUID: b7630f8e-0fa3-4a32-879e-0ea2d772474c
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Date deposited: 21 Sep 2018 16:30
Last modified: 16 Mar 2024 04:37
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