Sector level cost of equity in African financial markets

Bruce Hearn and Jenifer Piesse

Emerging Markets Review, 2009, vol. 10, issue 4, 257-278

Abstract: 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.

Keywords: Africa; Capital; asset; pricing; model; Liquidity; Emerging; financial; markets (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (13)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:10:y:2009:i:4:p:257-278

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