STUDY OF RELATIONSHIP BETWEEN LIQUIDITY RISK AND MARKET RISK USING RETURNS OF GROWTH AND VALUE STOCKS WITH AHP MODEL APPROACH IN TEHRAN STOCK EXCHANGE

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TEHRANI REZA; ANSARI KAMBIZ; HABIBI SAMAR JAVAD

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Paper Information

Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2015 | Volume:6 | Issue:23 Page(s): 39-58

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Title

STUDY OF RELATIONSHIP BETWEEN LIQUIDITY RISK AND MARKET RISK USING RETURNS OF GROWTH AND VALUE STOCKS WITH AHP MODEL APPROACH IN TEHRAN STOCK EXCHANGE

Author(s)

TEHRANI REZA | ANSARI KAMBIZ | HABIBI SAMAR JAVAD | Issue Writer Certificate

Keywords

ILLIQUIDITY RISKQ2

SYSTEMIC RISKQ2

VALUE INVESTMENTQ2

GROWTH INVESTMENTQ2

RETURN PER SHAREQ2

Abstract

Identify suitable Criteria for selecting stocks that have higher returns with lower risk of major issues facing investors and investment management by the principal subjects.Paradigm have been studied in the present study of various aspects about value and growthinvestment have been studied. This research field of study consisted of listed companies in Tehran Stock Exchange, the sample is of the 131 firms for the period 2007 to 2011.In the first sample by Overall weight each of the seven measure.(hagen six Factor measure plus P/E measure ). Through the AHP model,ThenThe breakdown and ranked stocks in each of the years of the study was to analyze the SAW model.Furthermore the importance of the relationship between risk and return, the impact of SYSTEMIC RISK and ILLIQUIDITY RISK on stock returns has been studied.The results show that there is an inverse linear relationship betweenthe market risk (beta) and the real return on growth stocks. This relationship is strong and meaningful. On the other hand there is a direct linear relationshipbetween market risk (beta) and real return on value stocks. AlsoResults of this research show that there is a positive linear relationshipbetween the real returns, liquidity risk and growth stocks and value (both). But the amount and intensity of the relationship betweenliquidity risk and real Return in the growth companies is much greater than the company value.

Cites

LIQUIDITY EXPLANATORY POWER CONSIDERING DIFFERENT MEASURES OF LIQUIDITY

References

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APA: Copy

TEHRANI, REZA, ANSARI, KAMBIZ, & HABIBI SAMAR, JAVAD. (2015). STUDY OF RELATIONSHIP BETWEEN LIQUIDITY RISK AND MARKET RISK USING RETURNS OF GROWTH AND VALUE STOCKS WITH AHP MODEL APPROACH IN TEHRAN STOCK EXCHANGE. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 6(23), 39-58. SID. https://sid.ir/paper/197617/en

Vancouver: Copy

TEHRANI REZA, ANSARI KAMBIZ, HABIBI SAMAR JAVAD. STUDY OF RELATIONSHIP BETWEEN LIQUIDITY RISK AND MARKET RISK USING RETURNS OF GROWTH AND VALUE STOCKS WITH AHP MODEL APPROACH IN TEHRAN STOCK EXCHANGE. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2015;6(23):39-58. Available from: https://sid.ir/paper/197617/en

IEEE: Copy

REZA TEHRANI, KAMBIZ ANSARI, and JAVAD HABIBI SAMAR, “STUDY OF RELATIONSHIP BETWEEN LIQUIDITY RISK AND MARKET RISK USING RETURNS OF GROWTH AND VALUE STOCKS WITH AHP MODEL APPROACH IN TEHRAN STOCK EXCHANGE,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 6, no. 23, pp. 39–58, 2015, [Online]. Available: https://sid.ir/paper/197617/en

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