نویسندگان
چکیده
کلیدواژهها
عنوان مقاله [English]
نویسندگان [English]
Capital Asset Pricing Model (CAPM) assumes that the only risk priced by the market is systematic risk. Fama and French Three Factors Model shows that firm size and BE/ME risk factors are also priced by the market other than the systematic risk indicator. In this study, along with the three factors considered by Fama and French, we examine the liquidity risk and its pricing by the investors in TSE for the 2004-2008 period by using the multivariable regression with a sample of listed firms in TSE.
Research finding suggest that the changes in stock returns in TSE are explained relatively acceptable (approximately 40%) by four factors which are excess return to risk-free rate of return, firm size, BE/ME and stock turnover. But in the portfolio of firms with high liquidity these factors explain the return best (approximately 60%). Also there is a significant relationship between the market risk premium, firm size and stock return. However, there is no significant relationship between BE/ME (Value premium) and stock turnover (liquidity premium) and stock return. In other words, only the market risk and firm size are priced by the market.
کلیدواژهها [English]
)