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Paper Information

Journal:   QUANTITATIVE RESEARCHES IN MANAGEMENT   WINTER 2014 , Volume 4 , Number 4; Page(s) 1 To 23.
 
Paper: 

THE INVESTIGATION LIQUIDITY PREMIUM AND A TWO FACTOR MODEL (MARKET & LIQUIDITY) IN TEHRAN STOCK EXCHANGE

 
 
Author(s):  GHALIBAF ASL HASSAN, EGHBALI ELHAM
 
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Abstract: 

Financial assets are valuating based on present value income flow and to obtain the current value of cash flows, in addition of future cash flows we need the rate of return to discount future cash flows. The main goal of capital asset pricing models is calculating the relevant rate of return.
CAPM model, consider to systematic risk as the only effective factor on stocks return. In fama-french three factor model, more than the systematic risk, other factors like size and ratio of book to market equity are considered as effective factors on stocks return. In this research we examine the ability of two factor model (Market and Liquidity) in explaining of stock return for accepted corporation in TSE for the 2004-2011period by using time series regression. The results have shown the meaningful relation between liquidity and market excess return and variation in stocks return in TSE are explaining in admissible rate by two factors liquidity and market excess return. (averagely 24%).

 
Keyword(s): LIQUIDITY PREMIUM, STOCK TURNOVER, SIZE, VALUE PREMIUM
 
References: 
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