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Liquidity Risk Measurement and its Effect on Asset Pricing in Tehran Stock Exchange

Jafarzadeh, Mohammad Reza | 2019

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  1. Type of Document: M.Sc. Thesis
  2. Language: Farsi
  3. Document No: 55971 (44)
  4. University: Sharif University of Technology
  5. Department: Management and Economics
  6. Advisor(s): Zamani, Shiva; Ebrahimnejad, Ali
  7. Abstract:
  8. The history of the researches conducted in the American, European and Iranian markets shows the importance of liquidity risk in the transactions of various types of financial assets. And as one of the important elements of risk in the pricing of financial assets, liquidity risk is considered for risk premium. Different criteria have been used to measure this type of risk in different researches, and their difference is in the ease of calculation and explanation. Liquidity risk can be divided into three categories: first, the commonality of liquidity risk of the portfolio or stock with market liquidity, second, the impact of portfolio or stock returns on the level of market liquidity, third, the impact of portfolio liquidity on market returns. For each of these three elements of liquidity risk, corresponding betas can be attributed to liquidity changes and market and portfolio returns. The findings of this study indicate that the portfolio with high illiquidity has a high commonality of its illiquidity with market illiquidity, and the sensitivity of its return to market liquidity is higher and the sensitivity of its liquidity to market return is also higher. In the current study, we arranged the portfolios according to the level of liquidity and changes in liquidity. Then, with the changes on these portfolios and similar betas with its returns, an attempt was made to calculate the pure beta risk obtained from the calculated betas. The used pricing model is a multi-factor model in terms of liquidity risk, in which we used Fama and McBeth's regression process for significance and obtaining coefficients, and the results showed that the level of liquidity risk and net beta in efficiency model is priced and the coefficients related to these two variables are positive and significant. And the coefficients related to liquidity level and net beta have been positive. In other words, liquidity level and net beta affect return directly
  9. Keywords:
  10. Liquidity ; Liquidity Management ; Cash Risk ; Tehran Stock Exchange ; Excess Return ; Liquidity Commonality ; Liquidity Flight

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