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), liquidity (Liu, 2006) as well as both size and liquidity …, Botswana, Kenya, Nigeria, Ghana and Cote d'Ivoire's BRVM. The evidence suggests that both size and liquidity factors are …

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) as well as both size and liquidity factors of Martinez et al …. Size and especially liquidity effects were found to be pervasive across national industry portfolios which were further …

valuation factors within a multifactor CAPM pricing model reveals that size and liquidity factors are significant in capturing …This study contrasts the ability of three liquidity constructs, the price-impact measure of Amihud (2002), the volume … common law origin. The evidence suggests that the Amihud construct outperforms other liquidity measures in Africa while the …

and Titman (1993) with two Liu (2006) liquidity factors formed from 1 year rebalancing and 1 month rebalancing … further differentiation undertaken between sub samples formed for Japan only and Asia excluding Japan for period January 2000 … asset pricing model (CAPM) framework are ineffective in explaining the cross section of stock returns in the presence of …

factor premiums are present after accounting for liquidity constraints. Fourth, we check whether the factor premiums are …, but they disappear after accounting for transaction costs and liquidity. …

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 markets … of Nigeria. The evidence suggests that additional size and liquidity factors impart negligible impact in explaining the …

This paper contrasts the performance of the Capital Asset Pricing Model (CAPM) augmented by size and liquidity factors … substantial size and liquidity effects are present in all markets with the sole exception of Sri Lanka. Time varying liquidity …

augmented by size, book to market value, momentum, liquidity and a new investor protection metric based on the product of … two factor CAPM augmented with a factor mimicking portfolio based on the investor protection metric yields the highest …

power than the CAPM to account for time series variation of stock returns. Our findings show that firm size and book … CAPM beta is not alone sufficient to explain the average expected stock returns in Bangladesh …