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Modelling size and liquidity in North African industrial sectors

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journal contribution
posted on 13.05.2011, 09:23 by Bruce Hearn
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 North African emerging markets of Algeria, Egypt, Morocco and Tunisia. The evidence suggests that size and liquidity effects are least significant in Morocco which is reflected in its low cost of equity while that in Egypt and Tunisia is significantly higher. Time-varying profiles of liquidity betas provide evidence that Morocco and Egypt have been affected by the 2007/2008 global financial crisis while the Tunisian market is relatively unaffected.

History

Citation

Emerging Markets Review, 2011, 12 (1), pp. 21-46.

Published in

Emerging Markets Review

Publisher

Elsevier

issn

1566-0141

Copyright date

2011

Available date

13/05/2011

Publisher version

http://www.sciencedirect.com/science/article/pii/S1566014110000440

Language

en