文章基本信息

标题：Developing of Eight Factor Model for Measuring Stock Returns Through Market Stress, the Rate of Market Fragility and Market Liquidity Risk Variables
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作者：Javad Sadeghi Panah ; Mansour Garkaz ; Parviz Saeedi 等
期刊名称：راهبرد مدیریت مالی
印刷版ISSN：2345-3214
电子版ISSN：2538-1962
出版年度：2022
卷号：10
期号：2
页码：185-208
DOI：10.22051/JFM.2020.25231.2020
语种：English
出版社：Alzahra University
摘要：This research is based on an eight-factor model consisting of the Fama and French five-factor model plus the variables of market stress, market fragility, and market liquidity risk in order to investigate the explanatory power of this model in Tehran securities market during the years 2009 to 2018 for 117 companies on a monthly basis. The results of the research indicated that the explanatory capability of the eight factor model is better than the Fama and Farnach five-factor model in the Iranian capital market. The results show that fragility has a significant negative relationship with stock returns. The results also show that stress has a significant negative relationship with stock returns and but liquidity risk has a significant positive relationship with stock returns. This result can be of interest to policymakers in the field of finance and investment and other stakeholders.
关键词：Liquidity Risk;Fragility;Market Stress;Fama and French Five-Factor Model;Stock Return