Document Type : Research Paper
Authors
1 Assistant Professor, Faculty of Management, University of Tehran
2 Ph.D. Student of Finance, University of Tehran
Abstract
Liquidity is one of the effective factors on the investors' portfolio
decision-making. The previous research evidences shows that liquidity
risk factor plays the significant role in cross-sectional return
explanation. The present study aimed at investigation of relationship
between the expected return and liquidity. For this purpose liquidity
proxy variable used in this study is the turnover ratio of trading
volume. This study included 30 companies listed in Tehran Stock
Exchange during the years of 1380-1386. The obtained result from
generalized least square (GLS) method revealed that there was a
positive relationship between cross-sectional return and liquidity.
Keywords
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