University of Sussex
Browse

File(s) under permanent embargo

Size and Liquidity Effects in African Frontier Equity Markets

journal contribution
posted on 2023-06-08, 11:00 authored by Bruce Hearn
This study contrasts the effectiveness of the capital asset pricing model (CAPM) against more recent augmented variants including size and book-to-market factors (Fama and French, 1993), liquidity (Liu, 2006) as well as both size and liquidity factors of Martinez et al (2005) in explaining average returns in industry portfolios across Sub Saharan Africa (SSA) excluding South Africa. This draws on a unique sample set of stocks from main board of Mauritius, local Namibian market, Botswana, Kenya, Nigeria, Ghana and Cote d’Ivoire’s BRVM. The evidence suggests that both size and liquidity factors are important in explaining average returns which is supported by extending the analysis using time varying coefficient Kalman filter techniques that reveal liquidity effects in all SSA markets while substantial size effects are present in Namibia and Zambia.

History

Publication status

  • Published

Journal

Applied Financial Economics

ISSN

0960-3107

Publisher

Taylor & Francis

Issue

9

Volume

22

Page range

681-707

Department affiliated with

  • Business and Management Publications

Full text available

  • No

Peer reviewed?

  • Yes

Legacy Posted Date

2012-04-24

Usage metrics

    University of Sussex (Publications)

    Categories

    No categories selected

    Exports

    RefWorks
    BibTeX
    Ref. manager
    Endnote
    DataCite
    NLM
    DC