Study the Effect of Stock Liquidity on Excess Return with Five Factors Arbitrage Pricing Model

Subject Areas : Financial Knowledge of Securities Analysis

Zahra  Farshadfar ¹ (استادیار گروه علوم اقتصادی، دانشکده علوم انسانی، واحد کرمانشاه، دانشگاه آزاد اسلامی، کرمانشاه، ایران)
Mansour  Khalili Eraghi ² (استاد تمام گروه علوم اقتصادی، دانشکده اقتصاد، دانشگاه تهران، تهران، ایران)

Received: 2014-10-02 Accepted : 2014-11-13 Published : 2016-04-03

Keywords: Momentum principle, stock liquidity, Cerhat model, Panel data,

Abstract :

Identifying the important factors of risk and return and optimal resources is one of the most important element to reach the maximum return. This would help individuals and institutions investors searching the best strategy to help them reaching this. This research try to study the five factor arbitrage pricing model based on the Cerhat four factor model plus stock liquidity and testing the empirical model in Iran Stock ExchangeFor do that we have used the panel data model for the period of 2008-2012 for 173 active unit in Tehran Stock Exchange

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