The impact of the prospect theory value on the relationship between liquidity risk and returns

Hamzeh Hosseinpour, A. Khodamipour, O. Pourheidari
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Abstract

Purpose This study aims to investigate the relationship between return and liquidity risk and the impact of the prospect theory value (PTV) as a moderator variable on this relationship. Design/methodology/approach The statistical population of this study is the companies listed on the Tehran Stock Exchange during the years 2006–2019. In this research, the portfolio construction method and alpha analysis of the factor models and the cross-sectional regression of Fama and Macbeth have been used to analyze the data. Findings The results obtained through the portfolio construction method and the cross-sectional regression of Fama and Macbeth show that there is no significant relationship between return and Amihud (2002) criterion (ILLIQ) as liquidity risk. The PTV also does not affect this relationship, but there is a positive and significant relationship between returns and the turnover ratio (TOR) as liquidity risk. In other words, the lower the TOR (higher liquidity risk), the lower the return. On the other hand, the results showed that the PTV affects this relationship. Originality/value To the best of the authors’ knowledge, this study is the first to examine the effect of the PTV on the relationship between return and liquidity risk. It is expected that the results of this study can help investors explain returns better through a deeper understanding of the behavior of investors and their decision-making methods. In other words, by examining the PTV as a proxy for behavioral dimension, we can understand that the relationship between return and liquidity risk can be affected by other dimensions like PTV, so when evaluating risk and return, other influential factors should also be considered.
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前景理论价值对流动性风险与收益关系的影响
目的本研究旨在探讨收益与流动性风险之间的关系,以及前景理论值(PTV)作为调节变量对这种关系的影响。设计/方法/方法本研究的统计人群是2006-2019年在德黑兰证券交易所上市的公司。在本研究中,使用了投资组合构建方法和因子模型的阿尔法分析以及Fama和Macbeth的横截面回归来分析数据。结果通过投资组合构建方法和Fama和Macbeth的横截面回归得到的结果表明,作为流动性风险,收益与Amihud(2002)准则(ILLIQ)之间没有显著关系。PTV也不影响这种关系,但作为流动性风险,回报率和周转率之间存在积极而显著的关系。换句话说,TOR(流动性风险越高)越低,回报率就越低。另一方面,结果表明PTV影响这种关系。独创性/价值据作者所知,本研究首次检验了PTV对收益和流动性风险之间关系的影响。期望这项研究的结果能够帮助投资者通过更深入地了解投资者的行为及其决策方法来更好地解释回报。换句话说,通过考察PTV作为行为维度的代理,我们可以理解回报和流动性风险之间的关系可能会受到PTV等其他维度的影响,因此在评估风险和回报时,还应该考虑其他影响因素。
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来源期刊
CiteScore
5.40
自引率
10.00%
发文量
45
期刊介绍: The International Journal of Islamic and Middle Eastern Finance and Management (IMEFM) publishes quality and in-depth analysis on current issues within Islamic and Middle Eastern finance and management. The journal welcomes strong evidence-based empirical studies and results-focused case studies that share research in product development and clarify best practices. The title is also keen to consider work from emerging authors. IMEFM has just also accepted into Clarivate''s SSCI in 2018, and its IF will be available in summer 2019, with citations dating from 2016. The coverage includes but is not limited to: -Islamic finance: Fundamentals, trends and opportunities in Islamic Finance, Islamic banking and financial markets, Risk management, Corporate finance, Investment strategy, Islamic social finance, Financial planning, Housing finance, Legal and regulatory issues, -Islamic management: Corporate governance, Customer relationship management and service quality, Business ethics and corporate social responsibility, Management styles and strategies in Shariah environments, Labour and welfare economics, Political economy. The journal is the only title aiming to give an interdisciplinary and holistic view on Islamic finance and business management practices in order to inform these two intertwined communities.
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