The Effect of Liquidity and Credit Risk on the Relationship be-tween Business Activities and Fluctuations in the Price of all Com-panies Listed on the Tehran Stock Exchange

Subject Areas : Financial Mathematics

Ahmad Sarlak ¹ , Mitra Mohammadtalebi ² , Bahareh Mohammadtalebi ³

1 - Department of Accounting, Arak Branch, Islamic Azad University, Arak, Iran.
2 - Department of Accounting, Arak Branch, Islamic Azad University, Arak, Iran
3 - Department of Accounting, Arak Branch, Islamic Azad University, Arak, Iran

Received: 2016-11-16 Accepted : 2017-01-28 Published : 2017-03-01

Keywords:

References:

[1] Admati, A.R., Pfleiderer, P. A Theory of intraday trading patterns: volume and price variability. Review of Financial Studies,1988, 1(1), P.3–40.

[2] Bessembinder, H., Kahle, K., Maxwell, W., Xu, D.,Measuring abnormal bondperformance. Review of Financial Studies 2009,2(2), P. 4219–4258.

[3] Duffie, D., Garleanu, N., Pedersen, L.H., Over-the-counter markets,.Econometrica 73, 2005,7(1).P.1815–1847.

[4] Duffie, D., Garleanu, N., Pedersen, L.H., Valuation in over-the-counter markets, Review of Financial Studies 20,2007, P. 1865–1900.

[5] Duffie, D., Malamud, S., Manso, G., Information percolation with segmented markets, Working paper, Stanford University.2013.

[6] Friewald, N., Jankowitsch, R., Subrahmanyam, M., Illiquidity or credit deterioration: a study of liquidity in the US corporate bond market during financial crises. Journal of Financial Economics. 2012 10(5), P.18–36.

[7] Garleanu, N., Pedersen, L.H. Margin-based asset pricing and deviations from the law of one price. Review of Financial Studies,2011, 2(4), P. 1980–2022.

[8] Lee, C.M.C., Swaminathan, B., Price momentum and trading volume. Journal of Finance, 2015, 5(5),P. 2017–2069.

[9] Li, H., Wang, J., Wu, C., He, Y., Are liquidity and information risks priced in the Treasury bond market? Journal of Finance, 2012, 6(4), P. 467–503.

[10] Schwert, G.W. Why does stock market volatility change over time? Journal of Finance,1989, 5(4), P.1115–1153.

[11] Schwert, G.W., Stock market volatility and the crash of ’87. Review of Financial Studies,1990, 3(5), P.77–102.

[12] Stigler, G.J., The economics of information. Journal of Political Economy,2007, 6(9), P.213–225.