Regarding the importance of the relationship between risk and return,
the effect of illiquidity risk and liquidity factors such as excess market
return, firm size and book to market value ratio on excess stock return
are investigated in this research. By using time series method, this
investigation was conducted on Iranian companies listed in Tehran
stock exchange monthly over the period 1378-1384.
Portfolio construction approach is applied for the reduction of
correlation coefficient among these variables. The results show that all
of the applied independent variables have significant effect on the
dependent variable. Namely, the impact of illiquidity and firm size on
excess stock return is negative; however the effect of excess market
return and book to market value ratio on excess stock return is
positive
(2009). The Role of Liquidity Factors and Illiquidity Risk on Excess Stock Return in Tehran Stock Exchange. Accounting and Auditing Review, 15(4), -.
MLA
. "The Role of Liquidity Factors and Illiquidity Risk on Excess Stock Return in Tehran Stock Exchange", Accounting and Auditing Review, 15, 4, 2009, -.
HARVARD
(2009). 'The Role of Liquidity Factors and Illiquidity Risk on Excess Stock Return in Tehran Stock Exchange', Accounting and Auditing Review, 15(4), pp. -.
VANCOUVER
The Role of Liquidity Factors and Illiquidity Risk on Excess Stock Return in Tehran Stock Exchange. Accounting and Auditing Review, 2009; 15(4): -.
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