Comparative Analysis of the Relationship between "Liquidity & Stock Resilience" and Expected Return in Tehran Stock Exchange
Quarterly Journal of Securities Exchange

Quarterly Journal of Securities Exchange

Comparative Analysis of the Relationship between "Liquidity & Stock Resilience" and Expected Return in Tehran Stock Exchange

Document Type : Original Article

Authors
sayed hasan mousavi 1
Ghodrat Allah Talebnia 2
Hamidreza Vakilifard 3
zohreh hajiha 4
1 Department of Financial Management, Kish International Branch, Islamic Azad University, Kish Island, Iran
2 Associate professor accounting science and research branch islamic azad university tehran iran
3 Faculty member of management Department In Islamic Azad University , Science and Research Branch Tehran, Iran
4 Associate Professor of Accounting Department, East Branch, Islamic Azad University, Tehran, Iran
10.22034/jse.2020.11097.1338
Abstract
Resilience is defined as "the ability of a system to return to the original form, position, often being compressed". In one hand, fluctuate in financial markets is one the most important variables in investment decision-making. On the other hand, the expected return has always a sort of distrust. The purpose of the current study is a comparative analysis of the relationship between "liquidity and stock resilience" and "expected returns".In this study, the stock resilience and 13 liquidity measures were examined and then their relationships with expected returns were evaluated among a sample of 151 Tehran stock exchange companies during 1392 to 1397. In this analysis, the 5 Fama & French factors were also assumed as control variables. Among liquidity measures, there is a significant relationship between "traded stock numbers, transaction numbers, trading volume, stock turnover rate" and "expected return". There is no significant relationship for resience and other liquidity measures. Also, it shows that Amivest liquidity ratio measure, transaction number, and stock turnover rate explain the expected returns much better than the other measures.
Keywords
expected returns
stock resilience
Fama & French factors
liquidity measures
  1. بابالویان، شهرام و مظفری، مهردخت (1394). "مقایسه قدرت پیش بینی مدل پنج عاملی فاما و فرنچ با مدل های چهار عاملی کارهارت و - q عاملی HXZ در تبیین بازده سهام"، نشریه علمی دانش مالی تحلیل اوراق بهادار، 9 (30) : 32-17.
  2. تهرانی، رضا؛ محمدی، شاپور و پورابراهیمی، محمدرضا (1389)."مدل سازی و پیش بینی نوسانات بازده دربورس اوراق بهادار تهران"، فصلنامه تحقیقات مالی، 12(30) : 34-23.
  3. حسنی، محمد و نبی زاده، نرگس (1396). "شواهدی از اثرگذاری عدم نقدشوندگی سهام بر بازده مورد انتظار سهام"، فصلنامه پژوهشهایجدید در مدیریت و حسابداری، 22 : 162-141.
  4. خجسته، محمدعلی و تهرانی، رضا (1396). " ارتقای مدل قیمت گذاری سهام مبتنی بر عامل ریسک نقدشوندگی"، نشریه علمی دانش مالی تحلیل اوراق بهادار، 10(35) : 17-1.
  5. خلیلی عراقی، منصور و فرشادفر، زهرا (1395) "بررسی اثر قابلیت نقدشوندگی سهام بر بازده اضافی با استفاده ازالگوی پنج عاملی قیمت گذاری آربیتراژ"، نشریه علمی دانش مالی تحلیل  اوراق بهادار، 29 : 110-97.
  6. راعی، رضا؛ فلاح پور، سعید و سرکانیان، جواد (1394). " بررسی رابطه بین نقدشوندگی با بازده سهام در بازار سهام ایران"، فصلنامه چشم انداز مدیریت مالی، 11 : 26-9.
  7. غیاثوند، ابوالفضل و عبدالشاه، فاطمه (1394). "مفهوم و ارزیابی تاب آوری اقتصادی ایران"، فصلنامه پژوهش های اقتصادی، سال پانزدهم، 59 : 187-161.
  8. فروغی، داریوش و فرجامی، ملیحه (1394). " تأثیر همزمانی قیمت و نوسان های بازده سهام بر نقدشوندگی سهام در شرکت های پذیرفته شده در بورس اوراق بهادار تهران "، فصلنامه مدیریت دارایی و تأمین مالی، 3 (11) : 98-85.
  9. کرباسی، حسین و دریاباری، سید سعید(1394). " شوک نقدشوندگی سهام و بازدۀ مورد انتظار آن (مورد مطالعه: شرکت های پذیرفته شده در بورس اوراق بهادار تهران"، فصلنامه پژوهشنامه اقتصاد و کسب و کار، 6 (11) : 61-49.
  10. Aharoni,Gil,; Grundy,Bruce, & Zeng, Qi (2013).“Stock returns and the Miller Modigliani valuation formula: Revisiting the Fama French analysis”, Journal of Financial Economics, 110 (2): 347-353.
  11. Anderson, Mike (2017). “A causal link between bond liquidity and stock returns”, Journal of Empirical Finance, 44:190-208.
  12. Arjoon,V.;Bougheas,S. & Milner,C. (2016).“Lead-lag relationships in an embryonic stock market: Exploring the role of institutional ownership and liquidity”, Research in International Business and Finance, 38 :262-276
  13. Atawnah, N.; Balachandran, B.; Duong, H.N. & Podolski, E.J.(2018).“Does exposure to foreign competition affect stock liquidity? Evidence from industry-level import data”, Journal of Financial Markets, 39 (c): 44-67.
  14. Chan, K.; Hameed, A. and Kang, W. (2013). “Stock price synchronicity and Liquidity”, Journal of Financial Markets, 16(3): 414-438.
  15. Chen, Jiaqi & Sherif, Mohamed (2016).“Illiquidity premium and expected stock returns in the UK: A new approach”, Journal of Physica A, 458:52–66.
  16. Chung Tin-fah & Ariff M. (2016).“Money Supply, Banking Liquidity and Stock Index Returns: Evidence from Four Major Capital Markets”,Business and Economics Journal, 1-22
  17. Eisfeldt, Andera. L. and Papanikolaou, Dimitris (2013). “Organization Capital and the Cross Section of Expected Return”, The Journal of Financial ,68(4) : 1365-1406
  18. ElBannan, Mona A. (2017). “Stock market liquidity, family ownership, and capital structure choices in an emerging country”, Emerging Markets Review, 33:201-231.
  19. Fama, E. F., & French, K. R.(2015).“A Five-Factor Asset Pricing Model”, Journal of Financial Economics, 116(1): 1-22.
  20. Fama, E. F., & French, K. R.(2016).“Dissecting Anomalies with a Five-Factor Model”, The Review of Financial Studies,29(1): 69-103.
  21. Hearn,B.(2010).“Time varying size and liquidity effects in South Asian equity markets:A study of blue-chip industry stocks”,International Review of Financial Analysis ,19(4):242–257.
  22. Hearn, B.; Piesse, J.and Strange, R. (2010).“Market liquidity and stock size premia in emerging financial markets: The implications for foreign investment”, International Business Review, 19 (5): 489–501.
  23. Kiel Geoffrey C. & Nicholson, Gavin, J.(2003).“Board Composition and Corporate Performance:How the Australian Experience Informs Contrasting Theories of Corporate Governance”,Corporate Governance:An International Review ,11(3): 189-205.
  24. Kim, J. and Kim, Y. (2018). “Transitory prices, resiliency, and the cross-section of stock returns”, International Review of Financial Analysis,: 1-54.
  25. Kim, Soonho and Na, Haejung (2018).“Higher-moment liquidity risks and the cross-section of stock returns”, Journal of Financial Markets, 38 : 39- 59
  26. Leirvik, Thomas; Fiskerstrand, S. & Fjellvikas, Anders (2017).“Market Liquidity and stock returns in the Norwegian stock market”, Finance Research Letters, 21:272-276.
  27. Liu, W. (2006).“A liquidity augmented capital asset pricing model”, Journal of Financial Economics, 82 (3): 631-671.
  28. Malagon,Juliana; Moreno, David & Rodríguez ,Rosa(2018).“Idiosyncratc volatility, conditional liquidity and stock returns”,International Review of Economics & Finance, 53:118-132.
  29. Norvaisieno,R.&Stankevibieno,J.(2014).“Impact of Cpmpanies internal Factors on Stock Liquidity in Baltic Markets”, Procedia - Social and Behavioral Sciences, 156:543 – 547.
  30. Novy-Marx,Robert (2013). “The other side of value: The gross profitability premium”, Journal of Financial Economics, 108(1):1-28.
  31. Qiao, Zhuo; Pukthuanthong, Kuntara (2018) “Has the difference in stock liquidity and stock returns between Chinese state owned and privately owned enterprises become smaller?”, Finance Research Letters, 1- 18
  32. Sila Alan, Nazli; Hua, jian; Peng, Lin & Schwartz, Robert A. (2015). “Stock Resiliency and Expected Returns: an Investigation of Dynamic Liquidity”, Baruch College Brownbag Seminars, 1-48.
  33. Vendrame, Vasco; Guermat, Cherif & Tucker, Jon (2018). “A conditional regime switching CAPM”, International Review of Financial Analysis, 56:1-11.

 

Quarterly Journal of Securities Exchange
Volume 13, Issue 50
Summer 2020
Pages 109-140