A Multiscale Pricing Model with the Wavelet Analysis Approach, Fama-French Three-Factor Model, and Nonliquidity in Tehran Stock Exchange
Publish place: Iranian Journal of Finance، Vol: 1، Issue: 2
Publish Year: 1396
نوع سند: مقاله ژورنالی
زبان: English
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شناسه ملی سند علمی:
JR_IJFIFSA-1-2_001
تاریخ نمایه سازی: 24 فروردین 1401
Abstract:
The aim of this paper is to analyze the multiscale pricing model with the wavelet analysis approach, Fama-French three-factor model, and nonliquidity in Tehran Stock Exchange. It was also desirable to figure out how stock returns, Fama-French factors, and nonliquidity were related in different intervals. According to the results, various outcomes were obtained at different intervals. Stock returns had significant relationships with (the ratio of book value to market value) and nonliquidity in the long term. Stock returns had significant relationships with the beta, , and company size in the midterm, too. There was also a significant relationship between stock returns and the company size in the short term. The proposed methodology suggests that investors should employ dynamic portfolio management strategy and multiscale risk-return evaluation to seize investment opportunities.
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Authors
Mohammadreza Rostami
Associate Prof, Faculty of Social Science & Economics, Alzahra University
Reyhane Pouyanfard
Alzahra University
Maryam Hashempour
Alzahra University