ASSET PRICING MODEL ON THE BASIS OF LIQUIDITY RISK FACTOR

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KHOJASTEH M.ALI; TEHRANI REZA

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Journal: FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES) Year:2017 | Volume:10 | Issue:35 Page(s): 1-17

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Title

ASSET PRICING MODEL ON THE BASIS OF LIQUIDITY RISK FACTOR

Author(s)

KHOJASTEH M.ALI | TEHRANI REZA | Issue Writer Certificate

Keywords

LIQUIDITYQ3

LIQUIDITY RISKQ2

ASSET PRICING MODELQ2

FAMA & FRENCH 3 FACTOR MODELQ2

Abstract

LIQUIDITY is a multidimensional concept. In this essay we studied the behavior of LIQUIDITY in the ASSET PRICING MODEL of Tehran Stock Exchange on the basis of multi measures related to multi dimensions of LIQUIDITY concept. The traded value measurement is used as a proxy for the value dimension, turnover ratio is used as a proxy for speed dimension and Amihud measure is used as a proxy for cost and price impact dimension.The time period is from 2011 up to 2016 and the data is calculated for 60 months. The result is that four factor model on the basis of each LIQUIDITY measure improves the style portfolios (size style, value style and LIQUIDITY style) as well as stock level. The improvement level is higher for the illiquid style portfolios. Among 201 studied stocks, the augmented model improves ASSET PRICING MODEL explanation of 50 stocks. Level of LIQUIDITY beta depends on the measurement used.

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APA: Copy

KHOJASTEH, M.ALI, & TEHRANI, REZA. (2017). ASSET PRICING MODEL ON THE BASIS OF LIQUIDITY RISK FACTOR. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), 10(35), 1-17. SID. https://sid.ir/paper/200198/en

Vancouver: Copy

KHOJASTEH M.ALI, TEHRANI REZA. ASSET PRICING MODEL ON THE BASIS OF LIQUIDITY RISK FACTOR. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)[Internet]. 2017;10(35):1-17. Available from: https://sid.ir/paper/200198/en

IEEE: Copy

M.ALI KHOJASTEH, and REZA TEHRANI, “ASSET PRICING MODEL ON THE BASIS OF LIQUIDITY RISK FACTOR,” FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), vol. 10, no. 35, pp. 1–17, 2017, [Online]. Available: https://sid.ir/paper/200198/en

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