University of Sussex
Browse

File(s) under permanent embargo

An Augmented Capital Asset Pricing Model: Liquidity and Stock Size in African Emerging Financial Markets

journal contribution
posted on 2023-06-08, 11:00 authored by Bruce Hearn, Jenifer Piesse
This paper uses the illiquidity measure of Amihud (2002) in forming illiquidity estimates for South Africa, Kenya, Morocco, Egypt and London. These are used within an augmented CAPM framework to form risk firm illiquidity premiums in addition to premiums attributable to firm size. The evidence suggests that London and Johannesburg have the lowest cost of equity followed by Morocco and Egypt. While Kenya has the highest cost of equity the costs associated with a Main board listing are less than one third than those encountered on the fledgling Alternative Investment Market raising policy questions concerning the development of alternative markets.

History

Publication status

  • Published

File Version

  • Published version

Journal

African Finance Journal

Publisher

Africa Growth Institute

Volume

SP

Department affiliated with

  • Business and Management Publications

Full text available

  • No

Peer reviewed?

  • Yes

Legacy Posted Date

2012-04-24

First Compliant Deposit (FCD) Date

2012-02-24

Usage metrics

    University of Sussex (Publications)

    Categories

    No categories selected

    Exports

    RefWorks
    BibTeX
    Ref. manager
    Endnote
    DataCite
    NLM
    DC