*Associate Prof. in Accounting, Islamic Azad University, Olom Tahghighat Branch, Tehran
**M.Sc in Accounting, Islamic Azad University, Olom Tahghighat Branch, Sistan and Bluchestan, Iran
Online published on 13 May, 2015.
The main objective of this study is to determine the relationship between stock returns and liquidity risk of companies listed in Tehran Stock Exchange. The time period of this study is the beginning of 2006 until the end of 2012 and Only companies have been studied that the fiscal year ended esfand 29 and have been Information required for this study and It is also was not standstill trade its shares up more than 6 months. finaly 148 companies were selected for the analysis were performed on a target. The results indicate that the relationship between liquidity risk and stock returns is statistically significant. Based on the model results, we can say: High levels of liquidity risk reduces the stock returns. Results are expressed that relationship between stock liquidity risk and future stock returns is not statistically significant. Therefore, unlike the impact of liquidity risk on stock returns This risk does not affect the efficiency of future stock companies.
Stock liquidity risk, market risk, return on equity, return on equity futures
