Comparative Analysis of the Relationship between

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Mousavi Sayed Hasan; TALEBNIA GHODRATOLLAH; VAKILIFARD HAMIDREZA; HAJIHA ZOHREH

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Journal Paper

Paper Information

Journal: JOURNAL OF SECURITIES EXCHANGE Year:2020 | Volume:13 | Issue:50 Page(s): 109-140

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Title

Comparative Analysis of the Relationship between "Liquidity & Stock Resilience" and Expected Return in Tehran Stock Exchange

Author(s)

Mousavi Sayed Hasan | TALEBNIA GHODRATOLLAH | VAKILIFARD HAMIDREZA | HAJIHA ZOHREH | Issue Writer Certificate

Keywords

Expected Returns

Stock Resilience

Fama & French Factors

Liquidity Measures

Abstract

Resilience is defined as "the ability of a system to return to the original form, position, often being compressed". In one hand, fluctuate in financial markets is one the most important variables in investment decision-making. On the other hand, the expected return has always a sort of distrust. The purpose of the current study is a comparative analysis of the relationship between "liquidity and Stock Resilience" and "Expected Returns". In this study, the Stock Resilience and 13 Liquidity Measures were examined and then their relationships with Expected Returns were evaluated among a sample of 151 Tehran stock exchange companies during 1392 to 1397. In this analysis, the five Fama & French Factors were also assumed as control variables. Among Liquidity Measures, there is a significant relationship between "traded stock numbers, transaction numbers, trading volume, stock turnover rate" and "expected return". There is no significant relationship for resience and other Liquidity Measures. In addition, it shows that Amivest liquidity ratio measure, transaction number, and stock turnover rate explain the Expected Returns much better than the other measures.

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APA: Copy

Mousavi, Sayed Hasan, TALEBNIA, GHODRATOLLAH, VAKILIFARD, HAMIDREZA, & HAJIHA, ZOHREH. (2020). Comparative Analysis of the Relationship between "Liquidity & Stock Resilience" and Expected Return in Tehran Stock Exchange. JOURNAL OF SECURITIES EXCHANGE, 13(50 ), 109-140. SID. https://sid.ir/paper/958769/en

Vancouver: Copy

Mousavi Sayed Hasan, TALEBNIA GHODRATOLLAH, VAKILIFARD HAMIDREZA, HAJIHA ZOHREH. Comparative Analysis of the Relationship between "Liquidity & Stock Resilience" and Expected Return in Tehran Stock Exchange. JOURNAL OF SECURITIES EXCHANGE[Internet]. 2020;13(50 ):109-140. Available from: https://sid.ir/paper/958769/en

IEEE: Copy

Sayed Hasan Mousavi, GHODRATOLLAH TALEBNIA, HAMIDREZA VAKILIFARD, and ZOHREH HAJIHA, “Comparative Analysis of the Relationship between "Liquidity & Stock Resilience" and Expected Return in Tehran Stock Exchange,” JOURNAL OF SECURITIES EXCHANGE, vol. 13, no. 50 , pp. 109–140, 2020, [Online]. Available: https://sid.ir/paper/958769/en

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