عنوان مقاله [English]
Sharp specified investment styles by four characteristics: (1) “identifiable before the fact” (2) “not easily beaten” (3) “a viable alternative” and (4) “low cost”. The paper is aimed to test mentioned four characteristics about liquidity in Tehran Stock Exchange (TSE). To this end, a sample composed of listed firms in TSE has been examined during 1379 to 1389. One and two-dimensional portfolio study approaches and regression analysis have been used to test above characteristics.
According to research findings, Even though portfolios which have different liquidity level that allocated by turnover to meet “identifiable before the fact” condition but return of extreme portfolios based on liquidity is very low relative to other styles. The results do not confirm superior performance of investment strategy based on liquidity so “not easily beaten” characteristic for liquidity style is not verified in TSE. Nevertheless, it can beat the market by putting together liquidity and other investment styles. In accordance with research outcomes, liquidity does not have more information content than other investment styles so it is not taken into account “viable alternative”. Since half of stocks in portfolio based on liquidity are interchanged by rebalancing, so it cannot manage this strategy passively and “low cost” condition is not confirmed. Liquidity as risk factor also is not viable and is only liner combination of identified risk factors in other asset pricing models.
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