Document Type : پژوهشی
Authors
Abstract
In this study the aim is to test whether financial market anomalies such as market
risk premium, firm size, the book-to-market ratio, the turnover rate, and momentum
both with and without the inclusion of the market liquidity risk factor in the case of
the Tehran stock exchange can explain stock returns? To this end, a number of 67
listed companies of Tehran Stock Exchange, based on Criteria filtering method,
have been chosen as a sample. Data are collected on a monthly basis for the period
2008-2011 and by using EViews and panel data. finding indicate that during the
study period, factors such as market risk premium, the book-to-market ratio and
liquidity risk have meaningful correlation with excess return in Tehran Stock
Exchange.
Keywords
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