STUDY THE EFFECT OF STOCK LIQUIDITY ON EXCESS RETURN WITH FIVE FACTORS ARBITRAGE PRICING MODEL

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FARSHADFAR ZAHRA; KHALILI ARAGHI MANSOOR

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Journal: FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES) Year:2016 | Volume:9 | Issue:29 Page(s): 97-109

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Information Journal Paper

Title

STUDY THE EFFECT OF STOCK LIQUIDITY ON EXCESS RETURN WITH FIVE FACTORS ARBITRAGE PRICING MODEL

Author(s)

FARSHADFAR ZAHRA | KHALILI ARAGHI MANSOOR | Issue Writer Certificate

Keywords

MOMENTUM PRINCIPLEQ2

STOCK LIQUIDITYQ3

CERHAT MODELQ2

PANEL DATAQ2

Abstract

Identifying the important factors of risk and return and optimal resources is one of the most important element to reach the maximum return. This would help individuals and institutions investors searching the best strategy to help them reaching this. This research try to study the five factor arbitrage pricing model based on the Cerhat four factor model plus STOCK LIQUIDITY and testing the empirical model in Iran Stock Exchange.For do that we have used the PANEL DATA model for the period of 2008-2012 for 173 active unit in Tehran Stock Exchange.

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APA: Copy

FARSHADFAR, ZAHRA, & KHALILI ARAGHI, MANSOOR. (2016). STUDY THE EFFECT OF STOCK LIQUIDITY ON EXCESS RETURN WITH FIVE FACTORS ARBITRAGE PRICING MODEL. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), 9(29), 97-109. SID. https://sid.ir/paper/200133/en

Vancouver: Copy

FARSHADFAR ZAHRA, KHALILI ARAGHI MANSOOR. STUDY THE EFFECT OF STOCK LIQUIDITY ON EXCESS RETURN WITH FIVE FACTORS ARBITRAGE PRICING MODEL. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)[Internet]. 2016;9(29):97-109. Available from: https://sid.ir/paper/200133/en

IEEE: Copy

ZAHRA FARSHADFAR, and MANSOOR KHALILI ARAGHI, “STUDY THE EFFECT OF STOCK LIQUIDITY ON EXCESS RETURN WITH FIVE FACTORS ARBITRAGE PRICING MODEL,” FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), vol. 9, no. 29, pp. 97–109, 2016, [Online]. Available: https://sid.ir/paper/200133/en

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