The Role of Noisy Risk Factors and Market Depth in Explaining Future Stock Returns

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ARAB SEPIDEH; Zanjirdar Hassan; Zarei Hassan

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

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Paper Information

Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2020 | Volume:11 | Issue:43 Page(s): 291-312

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Information Journal Paper

Title

The Role of Noisy Risk Factors and Market Depth in Explaining Future Stock Returns

Author(s)

ARAB SEPIDEH | Zanjirdar Hassan | Zarei Hassan | Issue Writer Certificate

Keywords

NoiseQ1

Market DepthQ1

Future ReturnQ1

Noisy Risk FactorsQ1

Abstract

The purpose of this study is to investigate the role of Noise risk factors and Market Depth in explaining future stock returns in listed companies in Tehran Stock Exchange. The locative domain, the companies listed in the Stock Exchange and the time period, is between 2013 and 2017. Noisy Risk Factors and the depth of the market are independent variables and future stock return is dependent variable. The research is descriptive (correlation) and applied. Data collection was done by library method and by referring to financial statements, explanatory notes and stock exchange monthly of sample companies. Descriptive and inferential data analysis (pre-test variance analysis, F Limer, Hassman & Jark-Bra test and multivariate regression test) were performed using Eviews software. The results showed that the changes of noisy risk factor indicate itself as a risk premium in Future Returns and risky factors of Market Depth changes, including the average variation in the volume of orders and the balancing changes between sales orders indicate itself as a risk premium in the Future Returns. The results obtained in this study are consistent with the Market theory of Noise.

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APA: Copy

ARAB, SEPIDEH, Zanjirdar, Hassan, & Zarei, Hassan. (2020). The Role of Noisy Risk Factors and Market Depth in Explaining Future Stock Returns. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 11(43 ), 291-312. SID. https://sid.ir/paper/371057/en

Vancouver: Copy

ARAB SEPIDEH, Zanjirdar Hassan, Zarei Hassan. The Role of Noisy Risk Factors and Market Depth in Explaining Future Stock Returns. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2020;11(43 ):291-312. Available from: https://sid.ir/paper/371057/en

IEEE: Copy

SEPIDEH ARAB, Hassan Zanjirdar, and Hassan Zarei, “The Role of Noisy Risk Factors and Market Depth in Explaining Future Stock Returns,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 11, no. 43 , pp. 291–312, 2020, [Online]. Available: https://sid.ir/paper/371057/en

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