Size and liquidity effects in Nigeria: an industrial sector study

Bruce Hearn

MPRA Paper from University Library of Munich, Germany

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.

Keywords: Liquidity; Asset Pricing; CAPM; Africa; Nigeria (search for similar items in EconPapers)
JEL-codes: G11 G12 G15 G20 O55 (search for similar items in EconPapers)
Date: 2013-01
New Economics Papers: this item is included in nep-afr and nep-cfn
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:47975

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