Developing of Eight Factor Model for Measuring Stock Returns Through Market Stress, the Rate of Market Fragility and Market Liquidity Risk Variables

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Sadeghi Panagh Javad; GARKAZ MANSOUR; SAEIDI PARVIZ; MATOUFI ALIREZA

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Journal Paper

Paper Information

Journal: JOURNAL OF FINANCIAL MANAGEMENT STRATEGY Year:2022 | Volume:10 | Issue:37 Page(s): 185-208

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Information Journal Paper

Title

Developing of Eight Factor Model for Measuring Stock Returns Through Market Stress, the Rate of Market Fragility and Market Liquidity Risk Variables

Author(s)

Sadeghi Panagh Javad | GARKAZ MANSOUR | SAEIDI PARVIZ | MATOUFI ALIREZA | Issue Writer Certificate

Keywords

Liquidity Risk

Fragility

Market Stress

Fama and French Five-Factor Model

Stock Return

Abstract

This research is based on an eight-factor model consisting of the Fama and French Five-Factor Model plus the variables of Market Stress, market Fragility, and market Liquidity Risk in order to investigate the explanatory power of this model in the Tehran securities market during the years 2009 to 2018 for 117 companies on a monthly basis. The results of the research indicated that the explanatory capability of the eight-factor model is better than the Fama and French Five-Factor Model in the Iranian capital market. The results also show that Fragility and stress have a significant negative relationship with Stock Returns and Liquidity Risk has a significant positive relationship with Stock Returns. This result can be of interest to policymakers in the field of finance and investment and other stakeholders...

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APA: Copy

Sadeghi Panagh, Javad, GARKAZ, MANSOUR, SAEIDI, PARVIZ, & MATOUFI, ALIREZA. (2022). Developing of Eight Factor Model for Measuring Stock Returns Through Market Stress, the Rate of Market Fragility and Market Liquidity Risk Variables. JOURNAL OF FINANCIAL MANAGEMENT STRATEGY, 10(37 ), 185-208. SID. https://sid.ir/paper/1051155/en

Vancouver: Copy

Sadeghi Panagh Javad, GARKAZ MANSOUR, SAEIDI PARVIZ, MATOUFI ALIREZA. Developing of Eight Factor Model for Measuring Stock Returns Through Market Stress, the Rate of Market Fragility and Market Liquidity Risk Variables. JOURNAL OF FINANCIAL MANAGEMENT STRATEGY[Internet]. 2022;10(37 ):185-208. Available from: https://sid.ir/paper/1051155/en

IEEE: Copy

Javad Sadeghi Panagh, MANSOUR GARKAZ, PARVIZ SAEIDI, and ALIREZA MATOUFI, “Developing of Eight Factor Model for Measuring Stock Returns Through Market Stress, the Rate of Market Fragility and Market Liquidity Risk Variables,” JOURNAL OF FINANCIAL MANAGEMENT STRATEGY, vol. 10, no. 37 , pp. 185–208, 2022, [Online]. Available: https://sid.ir/paper/1051155/en

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