Study of the effect of liquidity risk on stock returns in companies listed in Tehran Stock Exchange
M Noori
MA accounting, Islamic Azad University, kermanshah
Abstract
Risk in the term means the possibility of occurring a loss and damage, whether financial or non-financial, as a result of an activity. The issue of liquidity risk has been raised as a determinant of stock returns since the mid-1980. Some investors may need to quickly invest in their financial resources, and in such cases, the power of liquidity of assets can be of great importance. Therefore, considering the effect of liquidity risk on the level of return on equity in listed companies in Tehran Stock Exchange, by considering that the return level of the stock is a function of the liquidity risk, it has been investigated. To this end, all companies admitted to the Tehran Stock Exchange, as well as companies that provided financial statements (balance sheets, profit and loss accounts) and information required in the years 2012-2013, were examined. A total of 142 companies were selected from different industries. The research method is applied in terms of purpose and descriptive - correlation method. Data analysis was performed using Eviews software version 8. The results of the research showed that the variables of capital asset pricing, accrual quality, profit forecast and volume of transactions have a positive and significant effect on the variable of stock return level. Thus, at the macro level and at the level of a country, the more liquidity of the stock increases, the new information will be provided for gradual changes in stocks that will lead to an increase in the level of stock returns.
Keywords: Capital asset pricing, accrual quality, earnings forecast, volume of transactions, stock return level.
