The Role of Noisy Risk Factors and Market Depth in Explaining Future Stock Returns
Author(s):
Article Type:
Research/Original Article (دارای رتبه معتبر)
Abstract:
The purpose of this study is to investigate the role of noise risk factors and market depth in explaining future stock returns in listed companies in Tehran Stock Exchange. The locative domain, the companies listed in the Stock Exchange and the time period, is between 2013 and 2017. noisy risk factors and the depth of the market are independent variables and future stock return is dependent variable. The research is descriptive (correlation) and applied. Data collection was done by library method and by referring to financial statements, explanatory notes and stock exchange monthly of sample companies. Descriptive and inferential data analysis (pre-test variance analysis, F Limer, Hassman & Jark-Bra test and multivariate regression test) were performed using Eviews software. The results showed that the changes of noisy risk factor indicate itself as a risk premium in future returns and risky factors of market depth changes, including the average variation in the volume of orders and the balancing changes between sales orders indicate itself as a risk premium in the future returns. The results obtained in this study are consistent with the Market theory of Noise.
Keywords:
Language:
Persian
Published:
Financial Engineering and Protfolio Management, Volume:11 Issue: 43, 2020
Pages:
291 to 312
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