THE INVESTIGATION LIQUIDITY PREMIUM AND A TWO FACTOR MODEL (MARKET & LIQUIDITY) IN TEHRAN STOCK EXCHANGE

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GHALIBAF ASL HASSAN; EGHBALI ELHAM

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Journal: QUANTITATIVE RESEARCHES IN MANAGEMENT Year:2014 | Volume:4 | Issue:4 Page(s): 1-23

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Title

THE INVESTIGATION LIQUIDITY PREMIUM AND A TWO FACTOR MODEL (MARKET & LIQUIDITY) IN TEHRAN STOCK EXCHANGE

Author(s)

GHALIBAF ASL HASSAN | EGHBALI ELHAM | Issue Writer Certificate

Keywords

LIQUIDITY PREMIUMQ2

STOCK TURNOVERQ2

SIZEQ2

VALUE PREMIUMQ2

Abstract

Financial assets are valuating based on present value income flow and to obtain the current value of cash flows, in addition of future cash flows we need the rate of return to discount future cash flows. The main goal of capital asset pricing models is calculating the relevant rate of return.CAPM model, consider to systematic risk as the only effective factor on stocks return. In fama-french three factor model, more than the systematic risk, other factors like SIZE and ratio of book to market equity are considered as effective factors on stocks return. In this research we examine the ability of two factor model (Market and Liquidity) in explaining of stock return for accepted corporation in TSE for the 2004-2011period by using time series regression. The results have shown the meaningful relation between liquidity and market excess return and variation in stocks return in TSE are explaining in admissible rate by two factors liquidity and market excess return. (averagely 24%).

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APA: Copy

GHALIBAF ASL, HASSAN, & EGHBALI, ELHAM. (2014). THE INVESTIGATION LIQUIDITY PREMIUM AND A TWO FACTOR MODEL (MARKET & LIQUIDITY) IN TEHRAN STOCK EXCHANGE. QUANTITATIVE RESEARCHES IN MANAGEMENT, 4(4), 1-23. SID. https://sid.ir/paper/191915/en

Vancouver: Copy

GHALIBAF ASL HASSAN, EGHBALI ELHAM. THE INVESTIGATION LIQUIDITY PREMIUM AND A TWO FACTOR MODEL (MARKET & LIQUIDITY) IN TEHRAN STOCK EXCHANGE. QUANTITATIVE RESEARCHES IN MANAGEMENT[Internet]. 2014;4(4):1-23. Available from: https://sid.ir/paper/191915/en

IEEE: Copy

HASSAN GHALIBAF ASL, and ELHAM EGHBALI, “THE INVESTIGATION LIQUIDITY PREMIUM AND A TWO FACTOR MODEL (MARKET & LIQUIDITY) IN TEHRAN STOCK EXCHANGE,” QUANTITATIVE RESEARCHES IN MANAGEMENT, vol. 4, no. 4, pp. 1–23, 2014, [Online]. Available: https://sid.ir/paper/191915/en

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