CROSS-SECTIONAL STOCK RETURNS, MARKET LIQUIDITY RISK, AND FINANCIAL MARKET ANOMALIES

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ESLAMI GHOLAMREZA; HONARDUST AZAM

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Journal: FINANCIAL RESEARCH Year:2016 | Volume:18 | Issue:1 Page(s): 185-200

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Information Journal Paper

Title

CROSS-SECTIONAL STOCK RETURNS, MARKET LIQUIDITY RISK, AND FINANCIAL MARKET ANOMALIES

Author(s)

ESLAMI GHOLAMREZA | HONARDUST AZAM | Issue Writer Certificate

Keywords

CAPITAL ASSETS PRICINGQ2

FAMA AND FRENCH THREEQ1

FACTOR MODELQ2

FINANCIAL MARKET ANOMALIESQ2

LIQUIDITY RISK FACTORQ2

Abstract

To achieve the optimal model for capital asset pricing has always been a central issue in studies of the financial field. In this study we consider FAMA AND FRENCH THREE-factor model augmented by the Pastor and Stambaugh (2003) LIQUIDITY RISK FACTOR. Unlike most previous studies in this model, stock level beta is allowed to vary with firm-level size and book-to-market value. To verify the above mentioned model, risk-adjusted returns calculated using the model and its relationship with FINANCIAL MARKET ANOMALIES are examined. The examined anomalies in this study are: firm size, ratio of book value to market value, stock turnover ratio and the past returns. Using individual daily and monthly returns of sample’s companies of Tehran Stock Exchange and Securities for the period 1380 to 1393, we find that all considered anomalies can be captured by this model.

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APA: Copy

ESLAMI, GHOLAMREZA, & HONARDUST, AZAM. (2016). CROSS-SECTIONAL STOCK RETURNS, MARKET LIQUIDITY RISK, AND FINANCIAL MARKET ANOMALIES. FINANCIAL RESEARCH, 18(1 ), 185-200. SID. https://sid.ir/paper/91202/en

Vancouver: Copy

ESLAMI GHOLAMREZA, HONARDUST AZAM. CROSS-SECTIONAL STOCK RETURNS, MARKET LIQUIDITY RISK, AND FINANCIAL MARKET ANOMALIES. FINANCIAL RESEARCH[Internet]. 2016;18(1 ):185-200. Available from: https://sid.ir/paper/91202/en

IEEE: Copy

GHOLAMREZA ESLAMI, and AZAM HONARDUST, “CROSS-SECTIONAL STOCK RETURNS, MARKET LIQUIDITY RISK, AND FINANCIAL MARKET ANOMALIES,” FINANCIAL RESEARCH, vol. 18, no. 1 , pp. 185–200, 2016, [Online]. Available: https://sid.ir/paper/91202/en

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