Size and Liquidity Effects in Nigeria
34 Pages Posted: 2 Jun 2010
Date Written: June 1, 2010
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 markets of Nigeria. The evidence suggests that additional size and liquidity factors impart negligible impact 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, CAPM, Emerging Financial Markets, Nigeria
JEL Classification: G11, G12, G15, O55
Suggested Citation: Suggested Citation