Testing and analyzing the effect of business risk and liquidity variables on the return rate of shares of manufacturing companies listed in Tehran Stock Exchange
Subject Areas : Agriculture Marketing and CommercializationSeyed Mahdi Mirfathi Barkeiani 1 , somayeh shokravi 2 , Reza Khoshsima 3
1 -
2 -
3 -
Keywords: stock liquidity, commission rate, bid price difference, business risk, stock return, manufacturing companies,
Abstract :
Several factors affect the liquidity of companies' shares. According to the research, the most important factors are the number of traded shares, the number of traded companies, the value of traded shares, the percentage of the total volume of the transaction to the total market value, the number of buyers and the frequency of purchases. The present research examines and analyzes the effect of business risk and liquidity variables on the return rate of manufacturing companies admitted to the Tehran Stock Exchange in the period from 1397 to the end of 1401 and among the 494 companies admitted to the Tehran Stock Exchange, with the method of systematic elimination. 165 manufacturing companies have been selected. In this research, research hypotheses have been tested by using Limer's F test, Hausman test, fixed effects model and random effects model. The results obtained from the research show that the commission rate and business risk have a positive and significant effect on the stock returns of selected companies. On the other hand, the difference in the proposed price of buying and selling shares has a negative and significant effect on the stock returns of the investigated companies.
1. Rezaei, M., Hossainzadeh, S., & Mousavi, A. (2024). The Impact of Liquidity and Business Risk on Stock Returns: Evidence from Manufacturing Firms Listed on the Tehran Stock Exchange. Journal of Financial and Risk Management, 11(3), 150-167.
2. Ahmadpour, Ehsan & Amir Rasaian (2023). "The Relationship Between Risk Criteria and Bid-Ask Spread in Tehran Stock Exchange." Accounting and Auditing Reviews, No. 46, pp. 37-60.
3. Karimi Mohammadi, Ali & Zahra Samadi (2022). "The Role of Liquidity Factors and Liquidity Risk on Excess Stock Returns in Tehran Stock Exchange." Accounting and Auditing Reviews, No. 52, pp. 101-118.
4. Amihud, Y.,and Mendelson, D,. (2021), " Illiquidity and stok returns: cross- section and time series effects" Journal of Financial Markets 5, pp. 31-56.
5. Bloomfield, R.J and Wilks,T.J. (2020). "Disclosure effects in the laboratory: Liquidity, depth, and the cost of capital." The Accounting Review 75 (January): 13-42.
6. Amihud, Y ,.(2020). A liquidity-augmented capital asset pricing model, Journal of financial Economics, 82: 631–671.
7. Zarei Estahriji, Majid (2019). "Investigating the Factors Affecting Stock Liquidity in the Tehran Stock Exchange." Master’s Thesis, Imam Sadiq University.
8. Salehi Pour, Maryam (2018). "Investigating the Effect of Stock Liquidity on Excess Stock Returns of Companies Listed on the Stock Exchange." Master’s Thesis, Shahid Beheshti University, Faculty of Management and Accounting.
9. Solavati, Shapur & Rasaian, Amir (2017). "The Relationship Between Capital Structure and Stock Liquidity in Iran." Useful Journal, Economic Letter, Issue 63, pp. 143-163.
10. Rahmani, Ali; Hosseini, Seyed Ali & Reza Pour, Narges (2010). "Examining the Relationship Between Institutional Ownership and Liquidity in Iran." Quarterly Journal of Accounting and Auditing Reviews, No. 61, pp. 39-54.
11. Chang, Y.Y, Faff, R, Hwang C-Y (2010) “Liquidity and Stock Returns in Japan:New evidence” Pacific-Basin Finance Journal 18 (2010) 90–11Ahmadpour and Rasaian.
12. Azar, Adel & Mansour Momeni (2008). "Statistics and Its Application in Management," Volume 2, Tehran: Management Publications.
13. Qaemi, Mohammad-Hossein & Saeed Toosi (2008). "Management Message Journal," Issues 17 and 18, Winter 2005 and Spring 2006.
