This article investigates the impact of microstructure factors on asset pricing in some African stock markets. We use data on stocks listed on the Johannesburg Stock Exchange, the “Bourse Régionale des Valeurs Mobilières,” and the Nigeria Stock Exchange, and we consider international portfolio management from 2000 to 2014. Generalized least square and fixed effect are estimation methods used to highlight the effect of microstructure variables on expected return. At the same time, panel smooth transition regression (PSTR) modeling is considered to identify the thresholds in this effect. The results show that liquidity and to a lesser extent the number of trading days are the most common significant microstructure variables for all the studied markets. However, other variables’ effects on the return are specific to the considered stock markets. Furthermore, the PSTR estimator reveals that the impact of indicated factors on asset pricing is not linear because it produces a double threshold between return and microstructure.
This paper aims at explaining why in a context characterized by a huge need for financing, managers are still reluctant to an Initial Public Offering. For that purpose, the data are collected from 42 companies, through a questionnaire. A Principal Component Analysis supplemented by an estimation, were used. The results show that managers have a positive perception of the stock market, but consider very high the associated costs. They also reveal a weak financial culture and the unfavorable business environment.
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