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Sector level cost of equity in African financial markets

journal contribution
posted on 2023-06-08, 11:01 authored by Bruce Hearn, Jenifer Piesse
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.

History

Publication status

  • Published

Journal

Emerging Markets Review

ISSN

1566-0141

Publisher

Elsevier

Issue

4

Volume

10

Page range

257-278

Department affiliated with

  • Business and Management Publications

Full text available

  • Yes

Peer reviewed?

  • Yes

Legacy Posted Date

2012-04-24

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