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Size and liquidity effects in Nigeria: an industrial sector study
journal contribution
posted on 2023-06-08, 13:32 authored by Bruce HearnThis 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 AreasISSN
0022-037XPublisher
Western Illinois UniversityExternal DOI
Issue
3Volume
48Page range
1-30Department affiliated with
- Business and Management Publications
Full text available
- Yes
Peer reviewed?
- Yes
Legacy Posted Date
2013-03-14First Open Access (FOA) Date
2013-03-14First Compliant Deposit (FCD) Date
2012-11-06Usage metrics
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