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Size and liquidity effects in Nigeria: an industrial sector study

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  • Hearn, Bruce
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    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 market of Nigeria. The evidence suggests that liquidity factors are relevant only for financial and basic materials sector stocks while size factor is more generally relevant 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.

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    File URL: http://mpra.ub.uni-muenchen.de/47975/
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    Bibliographic Info

    Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 47975.

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    Date of creation: Jan 2013
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    Handle: RePEc:pra:mprapa:47975

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    Keywords: Liquidity; Asset Pricing; CAPM; Africa; Nigeria;

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