Hearn, Bruce (2014) Size and liquidity effects in Nigeria: an industrial sector study. Journal of Developing Areas, 48 (3). pp. 1-30. ISSN 0022-037X

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Abstract

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.

Item Type:	Article
Schools and Departments:	School of Business, Management and Economics > Business and Management
Subjects:	H Social Sciences > HG Finance
Related URLs:	Publisher
Depositing User:	Bruce Hearn
Date Deposited:	14 Mar 2013 14:35
Last Modified:	06 Mar 2017 02:16
URI:	http://srodev.sussex.ac.uk/id/eprint/42138

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