This paper contrasts the performance of three time series models, a simple stochastic drift, GARCH, and a time varying parameter CAPM for four SADC equity markets in Namibia, Swaziland, Mozambique, plus South Africa. Analysis of the portfolio characteristics containing each reveals the level of...

This paper uses the illiquidity measure of Amihud (2002) in forming illiquidity estimates for South Africa, Kenya, Morocco, Egypt and London. These are used within an augmented CAPM framework to form risk firm illiquidity premiums in addition to premiums attributable to firm size. The evidence...