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Size and liquidity effects in Nigeria: an industrial sector study

Author

Listed:
  • Bruce Hearn

    (University of Sussex, UK)

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.

Suggested Citation

  • Bruce Hearn, 2014. "Size and liquidity effects in Nigeria: an industrial sector study," Journal of Developing Areas, Tennessee State University, College of Business, vol. 48(3), pages 1-30, July-Sept.
    • Handle: RePEc:jda:journl:vol.48:year:2014:issue3:pp:1-30
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    File URL: http://muse.jhu.edu/journals/journal_of_developing_areas/v048/48.3.hearn.html
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    Citations

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    Cited by:

    1. Oloko, Tirimisiyu F., 2018. "Portfolio diversification between developed and developing stock markets: The case of US and UK investors in Nigeria," Research in International Business and Finance, Elsevier, vol. 45(C), pages 219-232.
    2. Zalewska Justyna & Nehrebecka Natalia, 2019. "Liquidity and solvency of a company and the rate of return – an analysis of the Warsaw Stock Exchange," Central European Economic Journal, Sciendo, vol. 6(53), pages 199-220, January.

    More about this item

    Keywords

    Liquidity; Asset Pricing; CAPM; Africa; Nigeria;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • O55 - Economic Development, Innovation, Technological Change, and Growth - - Economywide Country Studies - - - Africa

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