Size and liquidity effects in Nigeria: an industrial sector study

Article, Preprint OPEN
Hearn, Bruce;
(2014)
  • Publisher: Western Illinois University
  • Related identifiers: doi: 10.1353/jda.2014.0047
  • Subject: Liquidity, Asset Pricing, CAPM, Africa, Nigeria | HG
    • jel: jel:G12 | jel:G11 | jel:G20 | jel:G15 | jel:O55

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 sugg... View more
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