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Liquidity and Valuation in East African Securities Markets

journal contribution
posted on 2023-06-08, 11:02 authored by Bruce Hearn
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.

History

Publication status

  • Published

File Version

  • Published version

Journal

South African Journal of Economics

ISSN

0038-2280

Publisher

Economic Society of South Africa

Issue

4

Volume

77

Page range

553-576

Department affiliated with

  • Business and Management Publications

Full text available

  • No

Peer reviewed?

  • Yes

Legacy Posted Date

2012-04-23

First Compliant Deposit (FCD) Date

2012-02-24

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