Studying the Relationship between Liquidity Risk and Market Risk with Non-Ordinary Return at Fama—French Three Factor Model at Tehran Stock Exchange

Mirfeiz Fallah Shams, Leila Abshari, Hamidreza Kordlouie, Nader Naghshineh, Mohsen Gholipour

Abstract


Each financial market in compliance with broadness and depth has several diverse tools for making investment and investors make investment according to return and asset risk. There are different types of risk and investors due to each of them demand for taking risk. In this research, the effect of information quality is studied by regarding liquidity risk, effect of information quality by regarding risk of market on non-ordinary return at Fama-French three model factor. In this research the stock return influenced by Small Minus Big (SMB) and High Minus Low (HML) that are available at Fama-French three model factor was eliminated. In addition corporate properties and market are considered as market risk variables and liquidity risk. Results show that model is acceptable.


Full Text: PDF DOI: 10.5539/ibr.v7n2p53

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International Business Research  ISSN 1913-9004 (Print), ISSN 1913-9012 (Online)

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