Hearn, Bruce; Piesse, Jenifer - In: Emerging Markets Review 10 (2009) 4, pp. 257-278
This paper assesses the effectiveness of Liu (2006) metrics in measuring illiquidity within a multifactor CAPM pricing model. Costs of equity are estimated using this model for the major sectors within Africa's larger equity markets: Morocco, Tunisia, Egypt, Kenya, Nigeria, Zambia, Botswana and...