Liquidity Risk and Stock Returns: A Return Decomposition Approach

Bond, Shaun A.; Chang, Qingqing

doi:10.2139/ssrn.2148729

Cited by 1 publication

(1 citation statement)

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“…However, the effect of every financial risk on earnings and returns are studied separately, too. Bekaert, Harvey, and Lundblad (2007), Dalgaard (2009), Pastor and Stambaugh (2003), Hendershott and Seasholes (2014), Jun, Marathe, and Shawky (2003), Salehi, Talebnia, and Ghorbani 2011, Loukil, Zayani, and Omri (2010), Cao and Petrasek (2014), Liang and Wei (2012), and Bond and Chang (2013) have investigated the relationship between liquidity and stock returns. Bekaert et al (2007) found that liquidity measures could significantly predict future returns.…”

Section: The Literature Reviewmentioning

confidence: 99%

The effects of financial risks on the relationship between earnings and stock returns

Babi¹

2015

IJOL

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This study was conducted to investigate the effects of financial risks on the relationship between earnings per share and stock returns. The statistical population of the study consisted of the companies accepted by Tehran Stock Exchange. According to the conditions for sampling, 65 companies were selected during a period of six years from 2008 to 2013 (i.e., 390 fiscal years), and four hypotheses were set forth to achieve the purposes of the study. The first hypothesis tried to assess the relationship between earnings per share and stock returns. The second, third, and fourth hypotheses investigated the significance of the effects of three financial risks, namely liquidity, credit, and solvency risks on the relationship between earnings per share and stock returns. The hypotheses of the study were tested using linear and multiple regressions. The findings of the study indicated that there was a positive and significant relationship between earnings per share and stock returns. In addition, the results proved that the credit and solvency risks had negative and significant effects on the relationship between earnings per share and stock returns, but the effect of liquidity risk on this relationship was not significant.

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Section: The Literature Reviewmentioning

confidence: 99%

The effects of financial risks on the relationship between earnings and stock returns

Babi¹

2015

IJOL

View full text Add to dashboard Cite

show abstract

Liquidity Risk and Stock Returns: A Return Decomposition Approach

Cited by 1 publication

References 11 publications

The effects of financial risks on the relationship between earnings and stock returns

The effects of financial risks on the relationship between earnings and stock returns

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