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- W1996599512 abstract "This study contrasts the effectiveness of the Capital Asset Pricing Model (CAPM) against more recent augmented variants including size and book-to-market factors (Fama and French, 1993 Fama, E and French, K. 1993. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33: 3–56. [Crossref], [Web of Science ®] , [Google Scholar]), liquidity (Liu, 2006 Liu, W. 2006. A liquidity-augmented capital asset pricing model. Journal of Financial Economics, 82: 631–71. [Crossref], [Web of Science ®] , [Google Scholar]) as well as both size and liquidity factors of Martinez et al. (2005) in explaining average returns in industry portfolios across Sub Saharan Africa (SSA) excluding South Africa. This draws on a unique sample set of stocks from main board of Mauritius, local Namibian market, Botswana, Kenya, Nigeria, Ghana and Cote d’Ivoire's BRVM. The evidence suggests that both size and liquidity factors are important in explaining average returns which is supported by extending the analysis using time varying coefficient Kalman filter techniques that reveal liquidity effects in all SSA markets while substantial size effects are present in Namibia and Zambia." @default.
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- W1996599512 date "2012-03-01" @default.
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- W1996599512 title "Size and liquidity effects in African frontier equity markets" @default.
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- W1996599512 doi "https://doi.org/10.1080/09603107.2011.621881" @default.
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