THE EFFECTS OF LIQUIDITY ON STOCK RETURN BY CONTROLLING INVESTMENT STYLES: NEW APPROACH WITH A MULTIDIMENSIONAL MEASURE

Q: How can I download an article?

To download an article from SID, first log in to the site, search for the article title, and click on the 'Download Article' option.

Q: How can I download an ISI article?

To download an ISI article on SID, enter the keyword or article title in the search bar, view the relevant results, click on the desired article, and select the 'Download Article' option.

Q: How can I access the SID database?

To access the SID database, visit SID.ir, create an account, and log in to access scientific resources.

Q: Is downloading articles from SID free?

Some articles on SID are available for free, while others require payment. Details are specified on the article's page.

ABZARI MEHDI; KABIRIPOUR VAHID; SOHEILI SIROOS

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Journal Paper

Paper Information

Journal: JOURNAL OF ACCOUNTING KNOWLEDGE Year:2014 | Volume:4 | Issue:15 Page(s): 79-103

Download Full-Text

Persian Verion

View:

1,928

Download:

Cites:

Information Journal Paper

Title

THE EFFECTS OF LIQUIDITY ON STOCK RETURN BY CONTROLLING INVESTMENT STYLES: NEW APPROACH WITH A MULTIDIMENSIONAL MEASURE

Author(s)

ABZARI MEHDI | KABIRIPOUR VAHID | SOHEILI SIROOS | Issue Writer Certificate

Keywords

LIQUIDITYQ2

STOCK RETURNQ2

INVESTMENT STYLEQ2

Abstract

LIQUIDITY is a complex and multidimensional concept which affects investment decisions of investors in many ways. LIQUIDITY, recently, has been widely considered as a return determinant, while neither the Capital Asset Pricing Model (CAPM) nor the Fama–French three factor model can account for the LIQUIDITY premium. This study aims to examine the effects of LIQUIDITY on STOCK RETURN, using a combined approach to cover different dimensions of LIQUIDITY into a unit measure, with respect to the control role of INVESTMENT STYLEs effects. The analysis in this paper is carried out for ten portfolios, consisting common stocks of the companies listed in the Tehran Stock Exchange, using pooling data at monthly base from March 2002 to November 2011.The results of regression analysis show that LIQUIDITY within the CAPM significantly affects excess return, and LIQUIDITY beta is larger than market beta, although both of them have high and significant effects. Also, findings indicate that LIQUIDITY is a priced factor even after controlling size, value and momentum styles; and four-factor model that includes market, LIQUIDITY, size and value factors is the best model to explain the excess return in Tehran Stock Exchange.

Cites

LIQUIDITY EXPLANATORY POWER CONSIDERING DIFFERENT MEASURES OF LIQUIDITY

References

Cite

APA: Copy

ABZARI, MEHDI, KABIRIPOUR, VAHID, & SOHEILI, SIROOS. (2014). THE EFFECTS OF LIQUIDITY ON STOCK RETURN BY CONTROLLING INVESTMENT STYLES: NEW APPROACH WITH A MULTIDIMENSIONAL MEASURE. JOURNAL OF ACCOUNTING KNOWLEDGE, 4(15), 79-103. SID. https://sid.ir/paper/163489/en

Vancouver: Copy

ABZARI MEHDI, KABIRIPOUR VAHID, SOHEILI SIROOS. THE EFFECTS OF LIQUIDITY ON STOCK RETURN BY CONTROLLING INVESTMENT STYLES: NEW APPROACH WITH A MULTIDIMENSIONAL MEASURE. JOURNAL OF ACCOUNTING KNOWLEDGE[Internet]. 2014;4(15):79-103. Available from: https://sid.ir/paper/163489/en

IEEE: Copy

MEHDI ABZARI, VAHID KABIRIPOUR, and SIROOS SOHEILI, “THE EFFECTS OF LIQUIDITY ON STOCK RETURN BY CONTROLLING INVESTMENT STYLES: NEW APPROACH WITH A MULTIDIMENSIONAL MEASURE,” JOURNAL OF ACCOUNTING KNOWLEDGE, vol. 4, no. 15, pp. 79–103, 2014, [Online]. Available: https://sid.ir/paper/163489/en

Related Journal Papers