Modelling size and liquidity in North African industrial sectors
AbstractThis 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.
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Bibliographic InfoArticle provided by Elsevier in its journal Emerging Markets Review.
Volume (Year): 12 (2011)
Issue (Month): 1 (March)
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Web page: http://www.elsevier.com/locate/inca/620356
Liquidity CAPM Kalman filter Emerging financial markets North Africa;
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- Lischewski, Judith & Voronkova, Svitlana, 2012. "Size, value and liquidity. Do They Really Matter on an Emerging Stock Market?," Emerging Markets Review, Elsevier, vol. 13(1), pages 8-25.
- Kang, Hankil & Kang, Jangkoo & Lee, Changjun, 2013. "Do the production-based factors capture the time-varying patterns in stock returns?," Emerging Markets Review, Elsevier, vol. 15(C), pages 122-135.
- Hearn, Bruce, 2013. "Size and liquidity effects in Nigeria: an industrial sector study," MPRA Paper 47975, University Library of Munich, Germany.
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