The Study of Relationship between Size, value and Liquidity Risk with Excess Return of stock in Tehran exchange market
Journal Title: International Research Journal of Applied and Basic Sciences - Year 2014, Vol 8, Issue 7
Abstract
Investors always are thinking to earn more profits and reduce the risk, sothe different models over the years, has been developed for the assessment of risk and return. The most complete model that has provided is Fama and French model. In this study we investigated the role of various risk factors, including size, value and liquidity on capital asset pricing, and liquidity influence on improving the predictive power of the model. Thestatistical populationof the study is all firms listed in Tehran stock exchange and sample consisting of 155 companies for period of 2007-2011. Research findings indicate that there is no positive relationship between risk factors and excess stock returns inTehran Stock Exchange.
Authors and Affiliations
Naghi Bahramfar| The member of scientific group of Qazvin Islamic Azad University, Accounting department, Zeinab mirabi| MA Student of accounting, Qazvin Islamic Azad University, email: Zeinabmirabi@gmail.com
Keywords
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