THE STUDY OF RELATIONSHIP BETWEEN CROSSS-ECTIONAL RETURN AND LIQUIDITY IN TEHRAN SOCK EXCHANGE

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TEHRANI REZA; SARANJ ALIREZA; ANSARI HOJJAT ALLAH

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Journal: ECONOMIC RESEARCH REVIEW Year:2012 | Volume:11 | Issue:4 (43) Page(s): 167-183

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Information Journal Paper

Title

THE STUDY OF RELATIONSHIP BETWEEN CROSSS-ECTIONAL RETURN AND LIQUIDITY IN TEHRAN SOCK EXCHANGE

Author(s)

TEHRANI REZA | SARANJ ALIREZA | ANSARI HOJJAT ALLAH | Issue Writer Certificate

Keywords

LIQUIDITYQ2

TURNOVER RATIOQ2

GENERALIZED LEAST SQUARE (GLS)Q2

Abstract

LIQUIDITY is one of the effective factors on the investors' portfolio decision-making. The previous research evidences shows that LIQUIDITY risk factor plays the significant role in cross-sectional return explanation. The present study aimed at investigation of relationship between the expected return and LIQUIDITY. For this purpose LIQUIDITY proxy variable used in this study is the TURNOVER RATIO of trading volume. This study included 30 companies listed in Tehran Stock Exchange during the years of 1380-1386. The obtained result from generalized least square (GLS) method revealed that there was a positive relationship between cross-sectional return and LIQUIDITY.

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APA: Copy

TEHRANI, REZA, SARANJ, ALIREZA, & ANSARI, HOJJAT ALLAH. (2012). THE STUDY OF RELATIONSHIP BETWEEN CROSSS-ECTIONAL RETURN AND LIQUIDITY IN TEHRAN SOCK EXCHANGE. ECONOMIC RESEARCH REVIEW, 11(4 (43)), 167-183. SID. https://sid.ir/paper/67153/en

Vancouver: Copy

TEHRANI REZA, SARANJ ALIREZA, ANSARI HOJJAT ALLAH. THE STUDY OF RELATIONSHIP BETWEEN CROSSS-ECTIONAL RETURN AND LIQUIDITY IN TEHRAN SOCK EXCHANGE. ECONOMIC RESEARCH REVIEW[Internet]. 2012;11(4 (43)):167-183. Available from: https://sid.ir/paper/67153/en

IEEE: Copy

REZA TEHRANI, ALIREZA SARANJ, and HOJJAT ALLAH ANSARI, “THE STUDY OF RELATIONSHIP BETWEEN CROSSS-ECTIONAL RETURN AND LIQUIDITY IN TEHRAN SOCK EXCHANGE,” ECONOMIC RESEARCH REVIEW, vol. 11, no. 4 (43), pp. 167–183, 2012, [Online]. Available: https://sid.ir/paper/67153/en

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