SURVEYING THE RELATION BETWEEN LIQUIDITY AND MARKET RISKS WITH ABNORMAL RETURN IN THREE-FACTOR MODEL:FAMA AND FRENCH

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FALLAH SHAMS M.F.; KARIMI ZANDI MAHDI; ABSHARI LEYLA; SAFARI KAHREH ZAHRA

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Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2014 | Volume:5 | Issue:20 Page(s): 149-165

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Title

SURVEYING THE RELATION BETWEEN LIQUIDITY AND MARKET RISKS WITH ABNORMAL RETURN IN THREE-FACTOR MODEL:FAMA AND FRENCH

Author(s)

FALLAH SHAMS M.F. | KARIMI ZANDI MAHDI | ABSHARI LEYLA | SAFARI KAHREH ZAHRA | Issue Writer Certificate

Keywords

FAMA AND FRENCHQ2

LIQUIDITY AND MARKET RISKSQ2

Abstract

Due to expansion and depth of any financial market, there is densification of instruments to be used for investment. They are also being applied by investors by considering risk and return of assets. There are different sorts of risks, so investors attempt o catch risk premium. In this study, at first effect of information quality by considering liquidity risk on abnormal return in FAMA AND FRENCH model is investigated, and then the effect of information quality by considering market risk in the mentioned model is studied.In this research, stock returns which were affected by SMB and HML in the model are omitted. Characteristics of firm and market are considered as risk variables. Results show that model is fitted.

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APA: Copy

FALLAH SHAMS, M.F., KARIMI ZANDI, MAHDI, ABSHARI, LEYLA, & SAFARI KAHREH, ZAHRA. (2014). SURVEYING THE RELATION BETWEEN LIQUIDITY AND MARKET RISKS WITH ABNORMAL RETURN IN THREE-FACTOR MODEL:FAMA AND FRENCH. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 5(20), 149-165. SID. https://sid.ir/paper/197740/en

Vancouver: Copy

FALLAH SHAMS M.F., KARIMI ZANDI MAHDI, ABSHARI LEYLA, SAFARI KAHREH ZAHRA. SURVEYING THE RELATION BETWEEN LIQUIDITY AND MARKET RISKS WITH ABNORMAL RETURN IN THREE-FACTOR MODEL:FAMA AND FRENCH. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2014;5(20):149-165. Available from: https://sid.ir/paper/197740/en

IEEE: Copy

M.F. FALLAH SHAMS, MAHDI KARIMI ZANDI, LEYLA ABSHARI, and ZAHRA SAFARI KAHREH, “SURVEYING THE RELATION BETWEEN LIQUIDITY AND MARKET RISKS WITH ABNORMAL RETURN IN THREE-FACTOR MODEL:FAMA AND FRENCH,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 5, no. 20, pp. 149–165, 2014, [Online]. Available: https://sid.ir/paper/197740/en

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