Pricing Southern African Shares in the Presence of Illiquidity: A Capital Asset Pricing Model Augmented by Size and Liquidity Premiums

Keywords

Capital asset pricing model, Consumption-based capital asset pricing model, Market liquidity, Monetary economics, Financial economics

References

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Cited by

• Three-factor asset pricing model and portfolio holdings of foreign investors: evidence from an emerging market – Borsa IstanbulNildağ Başak Ceylan, Burak Doğan, Hakan Berument — 2015
• The pricing of illiquidity risk on emerging stock exchange markets: A portfolio panel data analysisKenfack Hikouatcha, Dubois Prince, David Kamdem — 2016
• Is there an illiquidity premium in frontier markets?Szymon Stereńczak, Adam Zaremba, Zaghum Umar — 2020
• A Comparative Study of the Fama-French Three Factor and the Carhart Four Factor Models: Empirical Evidence from MoroccoO. Tazi, Samir Aguenaou, Jawad Abrache — 2022
• Microstructure and asset pricing: An insight on African frontier stock marketsPrince Hikouatcha, Arsène Aurelien Njamen Kengdo, Hans Patrick Bidias Menik — 2023

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