CROSS-SECTION RETURN CHANGES: LIQUIDITY AND UNSYSTEMATIC RISK EFFECTS

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DAVALLOU MARYAM; FARTOOKZADEH HAMID REZA

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

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Journal: JOURNAL OF ACCOUNTING KNOWLEDGE Year:2016 | Volume:7 | Issue:26 Page(s): 0-0

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Title

CROSS-SECTION RETURN CHANGES: LIQUIDITY AND UNSYSTEMATIC RISK EFFECTS

Author(s)

DAVALLOU MARYAM | FARTOOKZADEH HAMID REZA | Issue Writer Certificate

Keywords

ASSET PRICINGQ2

LIQUIDITYQ2

UNSYSTEMATIC RISK EFFECTQ2

Abstract

This paper is aimed to investigate LIQUIDITY effects on unsystematic risk pricing to explain the reasons of unsystematic volatility puzzle, and test LIQUIDITY as the origin of unsystematic risk and stock return. In order to examine the LIQUIDITY effect, portfolio study and Fama-MacBeth regression were implemented. A sample consisted of listed firms in the Tehran Stock Exchange, TSE, was selected and examined in the period 1999 to 2010.The results of this study confirmed the existence of unsystematic volatility puzzle, and indicated that the explanatory power of unsystematic risk in illuminating cross sectional changes in stock returns could be supported by LIQUIDITY effects. Nevertheless, the effects of unsystematic risk on stock returns in the TSE were not determined by LIQUIDITY variation, and that there was no evidence of attributing the origin of changes in unsystematic risk pricing to LIQUIDITY variation. This finding was not sensitive to unsystematic risk measurement, thin trading and weighting scheme of portfolio return calculation.

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APA: Copy

DAVALLOU, MARYAM, & FARTOOKZADEH, HAMID REZA. (2016). CROSS-SECTION RETURN CHANGES: LIQUIDITY AND UNSYSTEMATIC RISK EFFECTS. JOURNAL OF ACCOUNTING KNOWLEDGE, 7(26), 0-0. SID. https://sid.ir/paper/356655/en

Vancouver: Copy

DAVALLOU MARYAM, FARTOOKZADEH HAMID REZA. CROSS-SECTION RETURN CHANGES: LIQUIDITY AND UNSYSTEMATIC RISK EFFECTS. JOURNAL OF ACCOUNTING KNOWLEDGE[Internet]. 2016;7(26):0-0. Available from: https://sid.ir/paper/356655/en

IEEE: Copy

MARYAM DAVALLOU, and HAMID REZA FARTOOKZADEH, “CROSS-SECTION RETURN CHANGES: LIQUIDITY AND UNSYSTEMATIC RISK EFFECTS,” JOURNAL OF ACCOUNTING KNOWLEDGE, vol. 7, no. 26, pp. 0–0, 2016, [Online]. Available: https://sid.ir/paper/356655/en

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