A Multiscale Pricing Model with the Wavelet Analysis Approach, Fama-French Three-Factor Model, and Nonliquidity in Tehran Stock Exchange
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 inter...
Main Authors: | , , |
---|---|
Format: | Article |
Language: | English |
Published: |
Iran Finance Association
1999-12-01
|
Series: | Iranian Journal of Finance |
Subjects: | |
Online Access: | https://www.ijfifsa.ir/article_59768_4995430ce9bc5f032c1011c800dc0719.pdf |
_version_ | 1811215435805229056 |
---|---|
author | Mohammadreza Rostami Reyhane Pouyanfard Maryam Hashempour |
author_facet | Mohammadreza Rostami Reyhane Pouyanfard Maryam Hashempour |
author_sort | Mohammadreza Rostami |
collection | DOAJ |
description | 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. |
first_indexed | 2024-04-12T06:22:34Z |
format | Article |
id | doaj.art-5d9f15cd7dbe46c1bdaf8ccf0ad5010a |
institution | Directory Open Access Journal |
issn | 2676-6337 2676-6345 |
language | English |
last_indexed | 2024-04-12T06:22:34Z |
publishDate | 1999-12-01 |
publisher | Iran Finance Association |
record_format | Article |
series | Iranian Journal of Finance |
spelling | doaj.art-5d9f15cd7dbe46c1bdaf8ccf0ad5010a2022-12-22T03:44:16ZengIran Finance AssociationIranian Journal of Finance2676-63372676-63451999-12-011272010.22034/ijf.2017.5976859768A Multiscale Pricing Model with the Wavelet Analysis Approach, Fama-French Three-Factor Model, and Nonliquidity in Tehran Stock ExchangeMohammadreza Rostami0Reyhane Pouyanfard1Maryam Hashempour2Associate Prof, Faculty of Social Science & Economics, Alzahra UniversityAlzahra UniversityAlzahra UniversityThe 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.https://www.ijfifsa.ir/article_59768_4995430ce9bc5f032c1011c800dc0719.pdfbv/mv ( the ratio of book value to market value)company sizebetawavelet analysis |
spellingShingle | Mohammadreza Rostami Reyhane Pouyanfard Maryam Hashempour A Multiscale Pricing Model with the Wavelet Analysis Approach, Fama-French Three-Factor Model, and Nonliquidity in Tehran Stock Exchange Iranian Journal of Finance bv/mv ( the ratio of book value to market value) company size beta wavelet analysis |
title | A Multiscale Pricing Model with the Wavelet Analysis Approach, Fama-French Three-Factor Model, and Nonliquidity in Tehran Stock Exchange |
title_full | A Multiscale Pricing Model with the Wavelet Analysis Approach, Fama-French Three-Factor Model, and Nonliquidity in Tehran Stock Exchange |
title_fullStr | A Multiscale Pricing Model with the Wavelet Analysis Approach, Fama-French Three-Factor Model, and Nonliquidity in Tehran Stock Exchange |
title_full_unstemmed | A Multiscale Pricing Model with the Wavelet Analysis Approach, Fama-French Three-Factor Model, and Nonliquidity in Tehran Stock Exchange |
title_short | A Multiscale Pricing Model with the Wavelet Analysis Approach, Fama-French Three-Factor Model, and Nonliquidity in Tehran Stock Exchange |
title_sort | multiscale pricing model with the wavelet analysis approach fama french three factor model and nonliquidity in tehran stock exchange |
topic | bv/mv ( the ratio of book value to market value) company size beta wavelet analysis |
url | https://www.ijfifsa.ir/article_59768_4995430ce9bc5f032c1011c800dc0719.pdf |
work_keys_str_mv | AT mohammadrezarostami amultiscalepricingmodelwiththewaveletanalysisapproachfamafrenchthreefactormodelandnonliquidityintehranstockexchange AT reyhanepouyanfard amultiscalepricingmodelwiththewaveletanalysisapproachfamafrenchthreefactormodelandnonliquidityintehranstockexchange AT maryamhashempour amultiscalepricingmodelwiththewaveletanalysisapproachfamafrenchthreefactormodelandnonliquidityintehranstockexchange AT mohammadrezarostami multiscalepricingmodelwiththewaveletanalysisapproachfamafrenchthreefactormodelandnonliquidityintehranstockexchange AT reyhanepouyanfard multiscalepricingmodelwiththewaveletanalysisapproachfamafrenchthreefactormodelandnonliquidityintehranstockexchange AT maryamhashempour multiscalepricingmodelwiththewaveletanalysisapproachfamafrenchthreefactormodelandnonliquidityintehranstockexchange |