How to cite this paper
Moanlogho, M & Madrakian, H. (2015). The effect of stock liquidity on the risk of falling stock prices: Evidence from the Tehran Stock Exchange.Management Science Letters , 5(12), 1059-1066.
Refrences
Amihud, Y., & Mendelson, H. (1986). Asset pricing and the bid-ask spread.Journal of financial Economics, 17(2), 223-249.
Chordia, T., Sarkar, A., & Subrahmanyam, A. (2005). An empirical analysis of stock and bond market liquidity. Review of Financial Studies, 18(1), 85-129.
Cooper, S. K., Groth, J. C., & Avera, W. E. (1985). Liquidity, exchange listing, and common stock performance. Journal of Economics and Business, 37(1), 19-33.
Datar, V. T., Naik, N. Y., & Radcliffe, R. (1998). Liquidity and stock returns: An alternative test. Journal of Financial Markets, 1(2), 203-219.
Eleswarapu, V. R., & Reinganum, M. R. (1993). The seasonal behavior of the liquidity premium in asset pricing. Journal of Financial Economics, 34(3), 373-386.
Easley, D., O & apos; hara, M., & Srinivas, P. S. (1998). Option volume and stock prices: Evidence on where informed traders trade. The Journal of Finance,53(2), 431-465.
Pastor, L., & Stambaugh, R. F. (2001). Liquidity risk and expected stock returns (No. w8462). National Bureau of Economic Research.
Chordia, T., Sarkar, A., & Subrahmanyam, A. (2005). An empirical analysis of stock and bond market liquidity. Review of Financial Studies, 18(1), 85-129.
Cooper, S. K., Groth, J. C., & Avera, W. E. (1985). Liquidity, exchange listing, and common stock performance. Journal of Economics and Business, 37(1), 19-33.
Datar, V. T., Naik, N. Y., & Radcliffe, R. (1998). Liquidity and stock returns: An alternative test. Journal of Financial Markets, 1(2), 203-219.
Eleswarapu, V. R., & Reinganum, M. R. (1993). The seasonal behavior of the liquidity premium in asset pricing. Journal of Financial Economics, 34(3), 373-386.
Easley, D., O & apos; hara, M., & Srinivas, P. S. (1998). Option volume and stock prices: Evidence on where informed traders trade. The Journal of Finance,53(2), 431-465.
Pastor, L., & Stambaugh, R. F. (2001). Liquidity risk and expected stock returns (No. w8462). National Bureau of Economic Research.