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

فصلنامه بورس اوراق بهادار

zohreh hajiha¹  Ghodrat Allah Talebnia²  sayed hasan mousavi³  Hamidreza Vakilifard⁴ 

[1] Associate Professor of Accounting Department, East Branch, Islamic Azad University, Tehran, Iran;Associate professor accounting science and research branch islamic azad university tehran iran;Department of Financial Management, Kish International Branch, Islamic Azad University, Kish Island, Iran;Faculty member of management Department In Islamic Azad University , Science and Research Branch Tehran, Iran;

关键词: expected returns;    stock resilience;    fama & french factors;    liquidity measures;   

DOI  :  10.22034/jse.2020.11097.1338

来源: DOAJ

【 摘 要 】

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 5 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. Also, it shows that Amivest liquidity ratio measure, transaction number, and stock turnover rate explain the expected returns much better than the other measures.

【 授权许可】

Unknown