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Size, Liquidity and Value Effects in African Frontier Equity Markets

Hearn, Bruce Allen - 2011

factors of Martinez et al (2005) in explaining average returns in industry portfolios across Sub Saharan Africa (SSA …) excluding South Africa. This draws on a unique sample set of stocks from main board of Mauritius, local Namibian market …

Persistent link: https://www.econbiz.de/10013134008

Asset Pricing in the Middle East’s Equity Markets

Hearn, Bruce Allen; Li, Jing; Mykhayliv, Dariya; Waqas, … - 2020

This paper undertakes a comparison between five multifactor variants of the capital asset pricing model, where this is augmented by size, book to market value, momentum, liquidity and a new investor protection metric based on the product of institutional quality in a country and the proportion...

Persistent link: https://www.econbiz.de/10014351974

A Comparison of the Efficacy of Liquidity, Momentum, Size and Book-to-Market Value Factors in Equity Pricing on a Heterogeneous Sample : Evidence from Asia

Hearn, Bruce Allen - 2016

This paper compares the size and book-to-market value factors of Fama and French (1993) alongside Momentum of Jagadeesh and Titman (1993) with two Liu (2006) liquidity factors formed from 1 year rebalancing and 1 month rebalancing respectively. A heterogeneous and comprehensive sample of the top...

Persistent link: https://www.econbiz.de/10013000951

The Influence of Institutions, Investor Protection and Corporate Block-Shareholders in Asset Pricing

Hearn, Bruce Allen - 2011

This study introduces a new asset pricing factor to capture both the effects of concentrated ownership and institutional development of in 61 international equity markets. The evidence suggests the new measure offers significant improvements over the size and book-to-market value three factor...

Persistent link: https://www.econbiz.de/10013124307

Size and Liquidity Effects in Asia-Pacific Equity Markets

Hearn, Bruce Allen - 2010

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 (2005) in explaining average returns in industry...

Persistent link: https://www.econbiz.de/10013149050

Costs of Equity in North Africa’s Equity Markets : An Industrial Sector Study

Hearn, Bruce Allen - 2011

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 North African emerging markets of Algeria, Egypt, Morocco and Tunisia. The evidence...

Persistent link: https://www.econbiz.de/10013134009

Time Varying Size and Liquidity Effects in South Asian Equity Markets : A Study of Blue-Chip Industry Stocks

Hearn, Bruce Allen - 2012

This paper contrasts the performance of the Capital Asset Pricing Model (CAPM) augmented by size and liquidity factors with its time varying coefficient counterpart using a unique market universe compiled from constituent stocks of blue chip indices BSE-100 (India), KSE-30 (Pakistan), DSE-20...

Persistent link: https://www.econbiz.de/10013116332

A Reassessment of Stock Market Integration in SADC : The Determinants of Liquidity and Price Discovery in Namibia

Hearn, Bruce Allen - 2012

The New Economic Partnership for Africa's Development focuses on the benefits to integration of many smaller African … markets with South Africa as the central hub motivated by a wish to attract foreign investment and increase liquidity. However … market to be fully integrated with South Africa. Several established liquidity constructs are compared to determine their …

Persistent link: https://www.econbiz.de/10013097816