Corporate Social Responsibility (CSR) with its many facets of definitions and practices is used to examine the effect of illiquidity risk on expected excess stock returns in Ghana. As a corporate social responsibility, the GSE recently engineered the operation of what it termed the Ghana Alternative Market in 2015 since one of the cardinal pillars of CSR is to drive change towards sustainability focusing on businesses with a high potential for growth. Evidence exists to show that liquidity risk can be measured using the conditional asset pricing model in Ghana. It is realize that systematic liquidity risk is priced in Ghana using the different risk premia. It emerge that though the size of market capitalization in Ghana is small with its small firm size, liquidity risk is priced systematically irrespective of the type of the market. Our evaluation concludes that under different market situation, the Ghanaian economy is more align to the downward market where stocks are priced during the period the last financial shock. Cross-listing of stock and regional market integration in Sub-Sahara Africa is a policy option managers of the economy should focus.
Yao Hongxing, Solomon Duduchoge
Corporate Social Responsibility, Liquidity Risk, Asset Pricing, Emerging Market, Sub Sahara Africa
- Acharya, V.V. and L.H. Pedersen (2005), 'Asset pricing with liquidity risk', J.Financ. Econ., 77 (2), 375-41.
- Akotey,A.,J.(2007). Interview with Armah Akotey, Vice President of Investment, Data Brokerage Ltd,Accra,Ghana.23 December,2008.
- Amihud, Y. (2002), Illiquidity and stock returns: cross-section and time –series effects', Journal of Financial Markets, 5, 31-56.
- Amihud, Y., and H. Menendelson (1986), 'Asset pricing and the bid-ask spread', Journal of Financial Econnomics, 17, 223-249.
- Anthonisz, S. A. and J.Putni?š,T?lis (2014), 'Asset Pricing with Downside Liquidity Risks', SSRN eLibrary
- Brennan, M.J., W. Huh and A. Subrahmanyam(2011), 'An analysis of the Amihud Illiquidity premium',Working paper,UCIA.
- Brennan M.J., and A. Subrahmanyam (1996), 'Market microstructure and asset pricing:on the compensation for illiquidity in stock returns',J.Financ. Econ,41 (3), 441-464.
- Bowen,H.R.,and F.E., Johnson(1953),Social Responsibility of the businessman,Harper
- Databank (2004). Epack Investment Fund Limited Annual Report, Ghana.
- Datar, V.T., Y.N. Naik and R. Radcliffe (1998), 'Liquidity and stock returns: an alternative test ‘J.Financ.Mark,1 (2), 203-219.
- D., S. Hvidkjaer and M. O,Hara (2010), 'Factoring information into returns',Journal of Financial and Quantitative Analysis,45,293-309
- Fabre, J., and A. Frino (2004), 'Commonality in liquidity: Evidence from the Australian stock exchange ', Account. Financ. 44 (3), 357-368.
- Fama, E. F., and J. D. MacBeth (1973), 'Risk, return, and equilibrium: Empirical tests',Journal of Political Economy, 81,607–636.
- Hearn Bruce (2011)”Liquidity Estimation in African Emerging Markets’ School of Management, University of Leicester, and King’s College, London,
- Hearn, B., Piesse, J., & Strange, R., (2009) market Liquidity and stock size Premia in Emerging Financial Markets: the implications for Foreign Investment. International Business Review, 16, special issue
- , Lee,K.H.,van Dijk,M.,2012.understanding commonality in liquidity around the world.J.Financ.Econ.105,82-112
- Kyle, A.S. (1985), 'Continuous auctions and insider trading', Econometrica, 5 3(6), 1315-1335.
- Lee, K.H.(2011), 'The World price of liquidity risk', J.Financ.Econ.,99(1),136-161.
- Lesmond,D.A., J.P. Orden and C.A. Trzcinka (1999), 'A new estimate of transaction costs',Rev.Financ.Stud.,12(5), 1113-1141.
- Limkriangkrai,M., R.B. Duran and I. Watson(2008), 'Is liquidity the missing link? 'Account.Financ., 48, 829-845.
- Liu,W. (2006), 'A liquidity-augmented capital asset pricing model',.J.Financ.Econ.,82 (3), 631-671.
- McWilliams and Siegel(2001),Corporate Social Responsibility:a theory of the firm perpective,Acad.Manag.Rev,26(pp.117-127)
- Mosley, P.Subusat;and Weeks ,J.,(1995)Assessing “adjustment in Africa World Development 23(9),1473.
- Pastor, l., and R.F. Stambaugh (2003), 'liquidity risk and expected stock returns', Journal of Political Economy, 111,642-685.
- Paul C.M.,Siegel D.(2006)Corporate Social Responsibility and economic performance.J.Prod. Anal 3:207-211
- Sally,Farid(2013)Financial integration in African Emerging Markets.
|Published in :
||Volume 3 | Issue 1 | January-February - 2017
|Date of Publication
Cite This Article
Yao Hongxing, Solomon Duduchoge, "Liquidity-Adjusted Capital Asset Pricing Model in Emerging Market : How is Ghana Faring?", International Journal of Scientific Research in Science, Engineering and Technology(IJSRSET), Print ISSN : 2395-1990, Online ISSN : 2394-4099, Volume 3, Issue 1, pp.105-116, January-February-2017.
URL : http://ijsrset.com/IJSRSET173111.php