Market liquidity and stock size premia in emerging financial markets
Market liquidity and stock size premia in emerging financial markets
This paper estimates the cost of equity in South Africa, Kenya, Egypt and Morocco as well as the UK. Active investor participation in emerging markets is contingent on solid regulation and corporate governance that provide transparency in information and equity prices. Costs of equity, taking account of firm size and illiquidity, enable comparison of transactions costs between markets. The evidence suggests a clear distinction between markets with different levels of regulation and corporate governance. The UK and South Africa have the lowest cost of equity followed by Egypt and Morocco and then Kenya, where the fledgling AIMS market has the highest value.
Africa, Capital asset pricing model, Emerging financial markets, Liquidity
75-101
Hearn, Bruce
45dccea3-9631-4e5e-914c-385896674dc2
Piesse, Jenifer
b85393d2-b4ae-49f2-87cd-8b5007c99e97
Strange, Roger
6f7b0a47-0014-4242-ad02-f3476a75322f
March 2010
Hearn, Bruce
45dccea3-9631-4e5e-914c-385896674dc2
Piesse, Jenifer
b85393d2-b4ae-49f2-87cd-8b5007c99e97
Strange, Roger
6f7b0a47-0014-4242-ad02-f3476a75322f
Hearn, Bruce, Piesse, Jenifer and Strange, Roger
(2010)
Market liquidity and stock size premia in emerging financial markets.
Macroeconomics and Finance in Emerging Market Economies, 3 (1), .
(doi:10.1080/17520840903076473).
Abstract
This paper estimates the cost of equity in South Africa, Kenya, Egypt and Morocco as well as the UK. Active investor participation in emerging markets is contingent on solid regulation and corporate governance that provide transparency in information and equity prices. Costs of equity, taking account of firm size and illiquidity, enable comparison of transactions costs between markets. The evidence suggests a clear distinction between markets with different levels of regulation and corporate governance. The UK and South Africa have the lowest cost of equity followed by Egypt and Morocco and then Kenya, where the fledgling AIMS market has the highest value.
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More information
Accepted/In Press date: 29 April 2009
e-pub ahead of print date: 8 March 2010
Published date: March 2010
Keywords:
Africa, Capital asset pricing model, Emerging financial markets, Liquidity
Identifiers
Local EPrints ID: 423422
URI: http://eprints.soton.ac.uk/id/eprint/423422
ISSN: 1752-0843
PURE UUID: e8155459-a048-40ee-a0a8-58e3dec43fbc
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Date deposited: 21 Sep 2018 16:30
Last modified: 16 Mar 2024 04:37
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Contributors
Author:
Jenifer Piesse
Author:
Roger Strange
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