THE RELATION OF RISK-ADJUSTED EXCESS RETURN WITH LIQUIDITY AND LIQUIDITY RISK (COMPANIES LISTED IN TEHRAN STOCK EXCHANGE)

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AHMADPOUR AHMAD; MARVIZADE FERESHTE

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Journal: JOURNAL OF ASSET MANAGEMENT AND FINANCING Year:2016 | Volume:4 | Issue:3 (14) Page(s): 77-90

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Title

THE RELATION OF RISK-ADJUSTED EXCESS RETURN WITH LIQUIDITY AND LIQUIDITY RISK (COMPANIES LISTED IN TEHRAN STOCK EXCHANGE)

Author(s)

AHMADPOUR AHMAD | MARVIZADE FERESHTE | Issue Writer Certificate

Keywords

EXPECTED RETURNQ2

CORPORATE LIQUIDITYQ1

CORPORATE LIQUIDITY RISKQ1

STOCK EXCESS RETURNSQ2

Abstract

Risk aversion and return orientation are two important principles in every investment decision, and risk averse investors avoid investing in risky opportunities without receiving their EXPECTED RETURN. In other words, given that most of the investment opportunities impose some level of high or low risk, investors expect premium reward depending on the level of risk they take. In this paper, we investigate the relation between liquidity and liquidity risk as two proxies of investment risk and risk-adjusted excess return. Our sample includes 40 companies listed in the Tehran Stock Exchange for the period of 2006-2012. We use multivariate regression and supplementing tests for data analysis and testing the hypothesis about the relation between risk and excess return. The results show that excess return has a significantly negative relation with stock liquidity. However, no significant relation is recognized between excess return and market liquidity, stock liquidity risk and market liquidity.

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APA: Copy

AHMADPOUR, AHMAD, & MARVIZADE, FERESHTE. (2016). THE RELATION OF RISK-ADJUSTED EXCESS RETURN WITH LIQUIDITY AND LIQUIDITY RISK (COMPANIES LISTED IN TEHRAN STOCK EXCHANGE). JOURNAL OF ASSET MANAGEMENT AND FINANCING, 4(3 (14) ), 77-90. SID. https://sid.ir/paper/245582/en

Vancouver: Copy

AHMADPOUR AHMAD, MARVIZADE FERESHTE. THE RELATION OF RISK-ADJUSTED EXCESS RETURN WITH LIQUIDITY AND LIQUIDITY RISK (COMPANIES LISTED IN TEHRAN STOCK EXCHANGE). JOURNAL OF ASSET MANAGEMENT AND FINANCING[Internet]. 2016;4(3 (14) ):77-90. Available from: https://sid.ir/paper/245582/en

IEEE: Copy

AHMAD AHMADPOUR, and FERESHTE MARVIZADE, “THE RELATION OF RISK-ADJUSTED EXCESS RETURN WITH LIQUIDITY AND LIQUIDITY RISK (COMPANIES LISTED IN TEHRAN STOCK EXCHANGE),” JOURNAL OF ASSET MANAGEMENT AND FINANCING, vol. 4, no. 3 (14) , pp. 77–90, 2016, [Online]. Available: https://sid.ir/paper/245582/en

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