A Corporate Social Responsibility of Engineering the Liquidity-Adjusted Capital Asset Pricing Modelling Sub-Sahara Africa: Evidence from Ghana

摘要

Corporate Social Responsibility; Liquidity Risk; Asset Pricing; Emerging Market; Sub-Sahara Africa%This paper estimates a conditional version of liquidity-adjusted capital asset pricing model in an emerging market in line with the corporate social responsibility (CSR) of the Ghana Stocks Exchange. We find out that for several years, Ghana stock market has been excluded from the global financial watch and from empirical verification model for lack of transparency in the performance of Exchange. Our evaluation concludes that illiquidity risk can be measured in the local market and exhibit a strong trend of mix reactions from liquidity premia. While the effect of the recent financial crisis do not show much difference between the different market conditions, the effect is more stronger in the down market than the up market. Finally, we explore the size effect on the market and conclude that the net beta as well as the systematic liquidity risk is pronounced in the smaller market though insignificant.