Liquidity Explanatory Power Considering Different measures of Liquidity
Abstract:
Present study aims at testing liquidity pricing with an emphasis on 10 different measures and testing liquidity-based trading strategy and comparing it with value/size-based strategy. To this end, a sample including companies involved in Tehran stock exchange during 1381-1393 was investigated. Accordingly, portfolio analysis method was applied. It was found out that liquidity is not priced in Tehran stock exchange. Applying difference in mean and GRS tests, it was revealed that liquidity-based trading strategy doesn’t lead to abnormal return. The results are not sensitive to different liquidity measures. Besides, it was found that value/size-based trading strategy is statistically more effective.
Language:
Persian
Published:
Financial Knowledge of Securities Analysis, Volume:9 Issue:31, 2016
Pages:
35 - 52
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