IDEAS home Printed from https://ideas.repec.org/p/pra/mprapa/6407.html
   My bibliography  Save this paper

Risk and Return on Uganda's stock exchange

Author

Listed:
  • Mayanja, Abubaker B.
  • Legesi, Kenneth

Abstract

Using data from 2003-2007, we calculate the systematic risk and cost of equity for firms listed on USE; Preliminary estimates show that nominal Cost of equity capital reduced over time from 63.24 percent (January 2005 to January 2006) to 18% (February 2006 to March 2007). The efficient frontier shifted below in the period considered to suggest a general lowering of expected returns on portfolios, re-affirming the notion that stock markets lead to reduction in the cost of funds; and thus a viable option to bank finance that at the moment is considered prohibitive with annual percentage rates of between 20-25.

Suggested Citation

  • Mayanja, Abubaker B. & Legesi, Kenneth, 2007. "Risk and Return on Uganda's stock exchange," MPRA Paper 6407, University Library of Munich, Germany, revised Aug 2007.
    • Handle: RePEc:pra:mprapa:6407
    as

    Download full text from publisher

    File URL: https://mpra.ub.uni-muenchen.de/6407/1/MPRA_paper_6407.pdf
    File Function: original version
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Blume, Marshall E & Friend, Irwin, 1973. "A New Look at the Capital Asset Pricing Model," Journal of Finance, American Finance Association, vol. 28(1), pages 19-33, March.
    2. Blume, Marshall E, 1970. "Portfolio Theory: A Step Toward Its Practical Application," The Journal of Business, University of Chicago Press, vol. 43(2), pages 152-173, April.
    3. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Turan G. Bali & Robert F. Engle & Yi Tang, 2017. "Dynamic Conditional Beta Is Alive and Well in the Cross Section of Daily Stock Returns," Management Science, INFORMS, vol. 63(11), pages 3760-3779, November.
    2. Ray Ball & Philip Brown & R. R. Officer, 1976. "Asset Pricing in the Australian Industrial Equity Market," Australian Journal of Management, Australian School of Business, vol. 1(1), pages 1-32, April.
    3. Asgar Ali & K. N. Badhani, 2021. "Beta-Anomaly: Evidence from the Indian Equity Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 28(1), pages 55-78, March.
    4. Jean-Jacques Rosa, 1976. "Rentabilité, risque et équilibre à la Bourse de Paris," Revue Économique, Programme National Persée, vol. 27(4), pages 608-662.
    5. Adam ZAREMBA, 2015. "Low Risk Anomaly In The Cee Stock Markets," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 81-102, September.
    6. Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, April.
    7. Geoffrey Shuetrim, 1998. "Systematic Risk Characteristics of Corporate Equity," RBA Research Discussion Papers rdp9802, Reserve Bank of Australia.
    8. Ana María Olaya, 2002. "Las finanzas en la frontera del conocimiento," Borradores de Investigación 3114, Universidad del Rosario.
    9. repec:fau:fauart:v:65:y:2015:i:1:p:84-104 is not listed on IDEAS
    10. Adam Zaremba, 2019. "The Cross Section of Country Equity Returns: A Review of Empirical Literature," JRFM, MDPI, vol. 12(4), pages 1-26, October.
    11. Turan G. Bali & Nusret Cakici & Yi Tang, 2009. "The Conditional Beta and the Cross‐Section of Expected Returns," Financial Management, Financial Management Association International, vol. 38(1), pages 103-137, March.
    12. Dana J. Johnson & Richard E. Bennett & Richard J. Curcio, 1979. "A Note On The Deceptive Nature Of Bayesian Forecasted Betas," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 2(1), pages 65-69, March.
    13. Martin Lettau & Sydney Ludvigson, 2001. "Resurrecting the (C)CAPM: A Cross-Sectional Test When Risk Premia Are Time-Varying," Journal of Political Economy, University of Chicago Press, vol. 109(6), pages 1238-1287, December.
    14. Attiya Yasmeen Javid, 2000. "Alternative Capital Asset Pricing Models: A Review of Theory and Evidence," PIDE Research Report 2000:3, Pakistan Institute of Development Economics.
    15. Modigliani, Franco. & Pogue, G. A., 1973. "An introduction to risk and return concepts and evidence," Working papers 646-73., Massachusetts Institute of Technology (MIT), Sloan School of Management.
    16. Benoît Carmichael & Gilles Boevi Koumou & Kevin Moran, 2021. "The RQE-CAPM : New insights about the pricing of idiosyncratic risk," CIRANO Working Papers 2021s-28, CIRANO.
    17. Tienyu Hwang & Simon Gao & Heather Owen, 2012. "A two‐pass model study of the CAPM: evidence from the UK stock market," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 29(2), pages 89-104, June.
    18. Gabriel Hawawini & Donald B. Keim, "undated". "The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings," Rodney L. White Center for Financial Research Working Papers 08-99, Wharton School Rodney L. White Center for Financial Research.
    19. Huang, Ho-Chuan (River), 2003. "Tests of regime-switching CAPM under price limits," International Review of Economics & Finance, Elsevier, vol. 12(3), pages 305-326.
    20. Grauer, Robert R. & Janmaat, Johannus A., 2010. "Cross-sectional tests of the CAPM and Fama-French three-factor model," Journal of Banking & Finance, Elsevier, vol. 34(2), pages 457-470, February.
    21. Tamara Ajrapetova, 2018. "Cross-Section of Asset Returns: Emerging Markets and Market Integration," European Financial and Accounting Journal, Prague University of Economics and Business, vol. 2018(1), pages 41-60.

    More about this item

    Keywords

    Cost of equity capital; Beta; CAPM; Uganda Securities Exchange (USE);
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:6407. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Joachim Winter (email available below). General contact details of provider: https://edirc.repec.org/data/vfmunde.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.