Cross-section Return Changes: Liquidity and Unsystematic Risk Effects

This paper is aimed to investigate liquidity effects on unsystematic risk pricing to explain the reasons of unsystematic volatility puzzle, and test liquidity as the origin of unsystematic risk and stock return. In order to examine the liquidity effect, portfolio study and Fama-MacBeth regression we...

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Autores principales:	Maryam Davallou, HamidReza Fartookzadeh
Formato:	article
Lenguaje:	FA
Publicado:	Shahid Bahonar University of Kerman 2016
Materias:	asset pricing liquidity unsystematic risk effect Accounting. Bookkeeping HF5601-5689
Acceso en línea:	https://doaj.org/article/3015f055cce14794963e9e2d092b576a
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spelling	oai:doaj.org-article:3015f055cce14794963e9e2d092b576a2021-11-04T19:51:55ZCross-section Return Changes: Liquidity and Unsystematic Risk Effects2008-89142476-292X10.22103/jak.2016.1533https://doaj.org/article/3015f055cce14794963e9e2d092b576a2016-11-01T00:00:00Zhttps://jak.uk.ac.ir/article_1533_c1718acf3d7b0d28573980d9befe426e.pdfhttps://doaj.org/toc/2008-8914https://doaj.org/toc/2476-292XThis paper is aimed to investigate liquidity effects on unsystematic risk pricing to explain the reasons of unsystematic volatility puzzle, and test liquidity as the origin of unsystematic risk and stock return. In order to examine the liquidity effect, portfolio study and Fama-MacBeth regression were implemented. A sample consisted of listed firms in the Tehran Stock Exchange, TSE, was selected and examined in the period 1999 to 2010.The results of this study confirmed the existence of unsystematic volatility puzzle, and indicated that the explanatory power of unsystematic risk in illuminating cross sectional changes in stock returns could be supported by liquidity effects. Nevertheless, the effects of unsystematic risk on stock returns in the TSE were not determined by liquidity variation, and that there was no evidence of attributing the origin of changes in unsystematic risk pricing to liquidity variation. This finding was not sensitive to unsystematic risk measurement, thin trading and weighting scheme of portfolio return calculation.Maryam DavallouHamidReza FartookzadehShahid Bahonar University of Kermanarticleasset pricingliquidityunsystematic risk effectAccounting. BookkeepingHF5601-5689FAمجله دانش حسابداری, Vol 7, Iss 26, Pp 85-106 (2016)
institution	DOAJ
collection	DOAJ
language	FA
topic	asset pricing liquidity unsystematic risk effect Accounting. Bookkeeping HF5601-5689
spellingShingle	asset pricing liquidity unsystematic risk effect Accounting. Bookkeeping HF5601-5689 Maryam Davallou HamidReza Fartookzadeh Cross-section Return Changes: Liquidity and Unsystematic Risk Effects
description	This paper is aimed to investigate liquidity effects on unsystematic risk pricing to explain the reasons of unsystematic volatility puzzle, and test liquidity as the origin of unsystematic risk and stock return. In order to examine the liquidity effect, portfolio study and Fama-MacBeth regression were implemented. A sample consisted of listed firms in the Tehran Stock Exchange, TSE, was selected and examined in the period 1999 to 2010.The results of this study confirmed the existence of unsystematic volatility puzzle, and indicated that the explanatory power of unsystematic risk in illuminating cross sectional changes in stock returns could be supported by liquidity effects. Nevertheless, the effects of unsystematic risk on stock returns in the TSE were not determined by liquidity variation, and that there was no evidence of attributing the origin of changes in unsystematic risk pricing to liquidity variation. This finding was not sensitive to unsystematic risk measurement, thin trading and weighting scheme of portfolio return calculation.
format	article
author	Maryam Davallou HamidReza Fartookzadeh
author_facet	Maryam Davallou HamidReza Fartookzadeh
author_sort	Maryam Davallou
title	Cross-section Return Changes: Liquidity and Unsystematic Risk Effects
title_short	Cross-section Return Changes: Liquidity and Unsystematic Risk Effects
title_full	Cross-section Return Changes: Liquidity and Unsystematic Risk Effects
title_fullStr	Cross-section Return Changes: Liquidity and Unsystematic Risk Effects
title_full_unstemmed	Cross-section Return Changes: Liquidity and Unsystematic Risk Effects
title_sort	cross-section return changes: liquidity and unsystematic risk effects
publisher	Shahid Bahonar University of Kerman
publishDate	2016
url	https://doaj.org/article/3015f055cce14794963e9e2d092b576a
work_keys_str_mv	AT maryamdavallou crosssectionreturnchangesliquidityandunsystematicriskeffects AT hamidrezafartookzadeh crosssectionreturnchangesliquidityandunsystematicriskeffects
_version_	1718444582085066752

Cross-section Return Changes: Liquidity and Unsystematic Risk Effects

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