The Use of Financial Ratios as Measures of Risk in the Determination of the Bid-Ask Spread in Tehran Stock Exchange

Many recent studies accounts for the relationship between market risk measures and accounting risk measures. There is also a relationship between risk and bid-ask spread. Therefore some researchers have studied the relationship between financial information as measures of risk and bidask spread. The main goal of this paper is to review the relationship between financial information and bid-ask spread in Tehran Stock Exchange. Therefore 156 firms that their necessary information for a three years period was available are selected. Then information about 14 independent variables has been studied. Bid-Ask spread is also computed as dependent variable. Multivariate fixed effects panel data regression technique is used to examine the hypotheses. Signification of the models is examined by t and F statistics. The conclusions account for that the model measures more than twenty eight percent changes in Bid-Ask spread.