Study the Effect of Stock Liquidity on Excess Return with Five Factors Arbitrage Pricing Model

Identifying the important factors of risk and return and optimal resources is one of the most important element to reach the maximum return. This would help individuals and institutions investors searching the best strategy to help them reaching this. This research try to study the five factor arbitrage pricing model based on the Cerhat four factor model plus stock liquidity and testing the empirical model in Iran Stock Exchange
For do that we have used the panel data model for the period of 2008-2012 for 173 active unit in Tehran Stock Exchange.