Title of article :
Analyzing the Effect of Capital Gains and Stock Liquidity on Stock Expected Return
Author/Authors :
Hassani ، Mohammad Accounting Finance Department - Islamic Azad University, Tehran North Branch , Nabizadeh ، Narges Islamic Azad University, Tehran North Branch
From page :
702
To page :
719
Abstract :
This research investigated the effect of capital gains and stock liquidity on stock expected return. The stock expected return is measured based on capital assets pricing model. Stock liquidity is measured by stock trading turn over and capital gain is measured by the return made through the changes in stock prices. In order to control other factors that may have an effect on stock expected return, some variables like market to book ratio, size, dividend payout ratio, leverage and profitability have been studied. Research hypotheses tested using regression model based on pooled data. Research sample includes 172 companies listed in Tehran Stock Exchange over the period 2010 – 2014. Results showed that there is not any significant relationship between capital gains and stock expected return. But the results found that stock liquidity has a significant and positive effect on stock expected return. In fact, stock expected return is a direct function of changes in stock liquidity.
Keywords :
Capital Gains , Stock Liquidity and Stock Expected Return , Capital Assets Pricing Model , Stock Trading Turn Over
Journal title :
International Journal of Management,Accounting and Economics(IJMAE)
Journal title :
International Journal of Management,Accounting and Economics(IJMAE)
Record number :
2592932
Link To Document :
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