STUDY OF THE EFFECTS OF LIQUIDITY RISK AND OTHER EFFECTIVE FACTORS ON CROSS-SECTIONAL RETURNS IN TEHRAN STOCK EXCHANGE

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SAYRANI M.; HEJAZI R.; KESHAVARZ M.

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Journal: Financial Accounting Research Year:2011 | Volume:3 | Issue:1 (7) Page(s): 113-124

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Information Journal Paper

Title

STUDY OF THE EFFECTS OF LIQUIDITY RISK AND OTHER EFFECTIVE FACTORS ON CROSS-SECTIONAL RETURNS IN TEHRAN STOCK EXCHANGE

Author(s)

SAYRANI M. | HEJAZI R. | KESHAVARZ M. | Issue Writer Certificate

Keywords

FLOAT-ADJUSTED RETURN MODELQ3

LIQUIDITY RISKQ2

SIZEQ2

FREE FLOATQ3

SYSTEMATIC RISKQ2

Abstract

Given the importance of the relationship between risk and returns, the effect of LIQUIDITY RISK and factors affecting risk such as: market risk or SYSTEMATIC RISK, SIZE, book to equity ratio and FREE FLOAT on cross-sectional returns, using FARM model is investigated. Our sample consists of 108 companies from listed companies in Tehran stock exchange. Required data for a period of 4 years (1383-1386) is collected. To test the research hypotheses, simple and multiple regression (step by step) techniques were used. Results show that market risk, SIZE and FREE FLOAT have significant relationship with returns, but relationship between book-to-market ratio, LIQUIDITY RISK and returns is not significant. Also, findings indicate that the relationship between SYSTEMATIC RISK and LIQUIDITY RISK is significant.

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APA: Copy

SAYRANI, M., HEJAZI, R., & KESHAVARZ, M.. (2011). STUDY OF THE EFFECTS OF LIQUIDITY RISK AND OTHER EFFECTIVE FACTORS ON CROSS-SECTIONAL RETURNS IN TEHRAN STOCK EXCHANGE. JOURNAL OF FINANCIAL ACCOUNTING RESEARCH, 3(1 (7)), 113-124. SID. https://sid.ir/paper/155048/en

Vancouver: Copy

SAYRANI M., HEJAZI R., KESHAVARZ M.. STUDY OF THE EFFECTS OF LIQUIDITY RISK AND OTHER EFFECTIVE FACTORS ON CROSS-SECTIONAL RETURNS IN TEHRAN STOCK EXCHANGE. JOURNAL OF FINANCIAL ACCOUNTING RESEARCH[Internet]. 2011;3(1 (7)):113-124. Available from: https://sid.ir/paper/155048/en

IEEE: Copy

M. SAYRANI, R. HEJAZI, and M. KESHAVARZ, “STUDY OF THE EFFECTS OF LIQUIDITY RISK AND OTHER EFFECTIVE FACTORS ON CROSS-SECTIONAL RETURNS IN TEHRAN STOCK EXCHANGE,” JOURNAL OF FINANCIAL ACCOUNTING RESEARCH, vol. 3, no. 1 (7), pp. 113–124, 2011, [Online]. Available: https://sid.ir/paper/155048/en

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