Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 12, 2009 erstellt
Description:
This paper assesses the effectiveness of traded turnover and Amihud (2002) constructs in measuring illiquidity which is used in constructing a multifactor CAPM. The performance of this model is contrasted against GARCH and simple stochastic drift models on a unique sample of five West African equity markets: BRVM, Ghana, Nigeria, Morocco and Tunisia together with London and Paris. Analysis of portfolio characteristics reveal that investment strategies centred on Francophone markets outperform those of Anglophone markets despite their lower mean returns. There is some evidence of limited benefits to investors from inclusion of the very small and highly illiquid BRVM and Ghanaian markets