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Size and liquidity effects in Nigeria: an industrial sector study

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journal contribution
posted on 2023-06-08, 13:32 authored by Bruce Hearn
This study estimates liquidity premiums using the recently developed Liu (2006) measure within a multifactor capital asset pricing model (CAPM) including size premiums and a time varying parameter model for the West African emerging market of Nigeria. The evidence suggests that liquidity factors are relevant only for financial and basic materials sector stocks while size factor is more generally relevant in explaining the cross section of stock returns in the Nigerian domestic equity market. Costs of equity estimates are high further underlining the limitations of this market as a capital-raising venue in contrast to the dominant banking sector.

History

Publication status

  • Published

File Version

  • Accepted version

Journal

Journal of Developing Areas

ISSN

0022-037X

Publisher

Western Illinois University

Issue

3

Volume

48

Page range

1-30

Department affiliated with

  • Business and Management Publications

Full text available

  • Yes

Peer reviewed?

  • Yes

Legacy Posted Date

2013-03-14

First Open Access (FOA) Date

2013-03-14

First Compliant Deposit (FCD) Date

2012-11-06

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