Size and Liquidity Effects in Nigeria

34 Pages Posted: 2 Jun 2010

Date Written: June 1, 2010

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 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

Hearn, Bruce Allen, Size and Liquidity Effects in Nigeria (June 1, 2010). Available at SSRN: https://ssrn.com/abstract=1619091 or http://dx.doi.org/10.2139/ssrn.1619091

Bruce Allen Hearn (Contact Author)

University of Southampton ( email )

University Rd.
Southampton SO17 1BJ, Hampshire SO17 1LP
United Kingdom

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