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Title: Modelling size and liquidity in North African industrial sectors
Authors: Hearn, Bruce
First Published: Sep-2010
Publisher: Elsevier
Citation: Emerging Markets Review, 2011, 12 (1), pp. 21-46.
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 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.
DOI Link: 10.1016/j.ememar.2010.08.004
ISSN: 1566-0141
Type: Article
Rights: This is the authors' final draft of the article published as Emerging markets review, 2011, 12 (1), pp. 21-46. The original published version is available on the publisher's website at: ; doi:10.1016/j.ememar.2010.08.004
Appears in Collections:Published Articles, School of Management

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