The Relationship between Specific Fluctuations, Liquidity Risk, and Stock Return in Listed Companies on Tehran Stock Exchange

The main purpose of this research is to investigate the relationship between specific fluctuations, liquidity risk, and stock returns in companies listed on Tehran Stock Exchange. This research reveals the importance of information such as special fluctuations and liquidity risk and their role in determining the additional return on portfolios of companies to assist the decision-making of actual and potential investors in the stock market. For purpose of this research, quarterly financial information of 152 companies among companies listed on Tehran Stock Exchange during the period 2012-2016 was examined. After collecting the required research data, panel data was used to test the hypotheses. Also, Eviews Software has been used to test the hypotheses. The results showed that special fluctuations have a positive and significant impact on liquidity risk and stock return. Moreover, results showed that no reliable evidence is found to indicate the impact of liquidity risk on stock return at 95% significance level.