LIQUIDITY EXPLANATORY POWER CONSIDERING DIFFERENT MEASURES OF LIQUIDITY

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DAVALLOU MARYAM; SHAKER ARDAKANI M.

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Paper Information

Journal: FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES) Year:2016 | Volume:9 | Issue:31 Page(s): 35-52

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Title

LIQUIDITY EXPLANATORY POWER CONSIDERING DIFFERENT MEASURES OF LIQUIDITY

Author(s)

DAVALLOU MARYAM | SHAKER ARDAKANI M. | Issue Writer Certificate

Keywords

LIQUIDITYQ3

SIZEQ2

VALUEQ2

Abstract

Present study aims at testing LIQUIDITY pricing with an emphasis on 10 different measures and testing LIQUIDITY-based trading strategy and comparing it with VALUE/size-based strategy. To this end, a sample including companies involved in Tehran stock exchange during 1381-1393 was investigated. Accordingly, portfolio analysis method was applied. It was found out that LIQUIDITY is not priced in Tehran stock exchange. Applying difference in mean and GRS tests, it was revealed that LIQUIDITY-based trading strategy doesn’t lead to abnormal return. The results are not sensitive to different LIQUIDITY measures. Besides, it was found that VALUE/size-based trading strategy is statistically more effective.

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APA: Copy

DAVALLOU, MARYAM, & SHAKER ARDAKANI, M.. (2016). LIQUIDITY EXPLANATORY POWER CONSIDERING DIFFERENT MEASURES OF LIQUIDITY. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), 9(31), 35-52. SID. https://sid.ir/paper/200247/en

Vancouver: Copy

DAVALLOU MARYAM, SHAKER ARDAKANI M.. LIQUIDITY EXPLANATORY POWER CONSIDERING DIFFERENT MEASURES OF LIQUIDITY. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)[Internet]. 2016;9(31):35-52. Available from: https://sid.ir/paper/200247/en

IEEE: Copy

MARYAM DAVALLOU, and M. SHAKER ARDAKANI, “LIQUIDITY EXPLANATORY POWER CONSIDERING DIFFERENT MEASURES OF LIQUIDITY,” FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), vol. 9, no. 31, pp. 35–52, 2016, [Online]. Available: https://sid.ir/paper/200247/en

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