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Periodical article Periodical article Leiden University catalogue Leiden University catalogue WorldCat catalogue WorldCat
Title:Liquidity and valuation in East African securities markets
Author:Hearn, BruceISNI
Year:2009
Periodical:South African Journal of Economics
Volume:77
Issue:4
Pages:553-576
Language:English
Geographic term:East Africa
Subjects:financial market
securities
External link:https://onlinelibrary.wiley.com/doi/10.1111/j.1813-6982.2009.01229.x/pdf
Abstract:This study estimates liquidity premiums using the recently developed Liu measure within a multifactor capital asset pricing model including size premiums and a time-varying parameter model for the East African emerging markets of Uganda, Tanzania and Kenya together with London and South Africa. The evidence suggests that while size and liquidity effects are significant in the smaller emerging markets of Uganda and Kenya, they are less important in explaining returns in South Africa and London. Costs of equity are highest in Uganda followed by Kenya, with industrial and consumer non-cyclical sectors being lowest, and then South Africa and London. Bibliogr., notes, ref., sum. [Journal abstract]
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