Word Files
Reference for Downloading Educational Files
  2. Management
  3. Investigating the relationship of information asymmetry with liquidity and liquidity risk in companies listed on the Tehran Stock Exchange

Investigating the relationship of information asymmetry with liquidity and liquidity risk in companies listed on the Tehran Stock Exchange

Number of pages: 86 File Format: word File Code: 31232
Year: 2013 University Degree: Master's degree Category: Management
Tags/Keywords: Companies listed on the stock exchange - Information symmetry - Liquidity - Liquidity risk
  • Part of the Content
  • Contents & Resources

  • Summary of Investigating the relationship of information asymmetry with liquidity and liquidity risk in companies listed on the Tehran Stock Exchange

    Abstract:

    This research deals with the factors affecting information asymmetry by considering company variables and market factors and investigates the relationship of information asymmetry with liquidity and liquidity risk. Next, it examines the relationship between liquidity risk and excess stock returns. For this purpose, the information of the companies admitted to the Tehran Stock Exchange between 1384 and 1389 has been used. The findings of this research show that information asymmetry has a positive relationship with the volume of transactions and market liquidity risk and a negative relationship with the frequency of transactions and the risk of stock liquidity and market liquidity. After adjusting the factors of market risk, size, the ratio of book value to stock value and the superiority of the only variable factor of stock liquidity It has a positive and significant relationship with excess stock returns, and the variables of stock liquidity risk, market liquidity, and market liquidity risk do not have a significant relationship with excess stock returns.

    Key words:

    information asymmetry, liquidity, risk of illiquidity, the gap between the offer price of buying and selling shares, excess stock returns

    Chapter One

             Research

    1-1) Introduction:

    The effect of financial information on the behavior of the stock market is one of the main topics of research in financial affairs. Therefore, the consequences and factors affecting the quality of information have been given much attention. One of these basic consequences is information asymmetry, which refers to the information superiority of one party to the transaction over the other. Considering the importance of the concept of information asymmetry, it is now accepted that economic analyzes are incomplete without the inclusion of information asymmetry in the models. In this regard, in recent years, a significant effort has been made in the field of studying information asymmetry in financial markets, factors affecting it and its relationship with other financial issues. The current research examines the relationship between information asymmetry and liquidity and liquidity risk.

    Liquidity means the speed of converting investments or assets into cash. Securities that are welcomed in the stock exchange can indicate the speed of their liquidity. In fact, the lack of liquidity may have a negative effect on the stock value. [19] [

    In each financial market, there are various investment tools according to the breadth and depth of the market.  Investors invest according to the return and risk of assets. The discount rate or the expected rate of return of any asset indicates the lost return under equal risk conditions resulting from the acquisition of that asset. One of the factors influencing the risk of assets is their liquidity. The role of liquidity in the valuation of assets is important.

    The issue of liquidity as a determining factor of stock returns was raised in the mid-1980s. Researches such as Ekbo and Norli [1] (2005) show that the liquidity factor is an effective asset and investors always pay attention to it. [19] [

    The present study has a dual focus. It has:

    Firstly, it provides an integrated analysis of factors affecting information asymmetry by considering company variables and market factors.

    Secondly, it examines the effects of liquidity and liquidity risk on excess stock returns.

    In this research, an attempt has been made to explain a specific dimension of liquidity risk that threatens people's capital and causes the predicted price to differ from the actual price.

    2-1) Statement of the problem:

    Information asymmetry has always been an important issue among academics. In information asymmetry, one side of the exchange has more information than the other. One of the ways to make a successful exchange is for the buyer to try to raise his information about the other side, the seller, and the level of quality of his services as much as possible. But this is not always practical and it is not very economical.

    In general, the representatives (people inside the organization) on one side of the market have better and more timely information (informational advantage) about the company than other groups (people outside the organization) on the other side of the market, so to speak, it is said that the market has the characteristic of information asymmetry. The existence of asymmetric information in the market leads to the problem of conflicting (reverse) selection in transactions, which ultimately leads to the inefficiency of the market.An increase in information asymmetry will have an adverse effect on the cost of capital because liquidity providers increase the range of stock buying and selling to protect themselves against adverse selection risk, which reduces the depth of the market, thus leading to a decrease in liquidity. Therefore, adverse selection will involve costs that companies prefer to finance from sources that have the lowest risk of adverse selection. [13] Among this, the provision of capital through shares will have the greatest risk, because information asymmetry leads to an increase in the risk and expected returns of investors.]9[

     

    3-1) Research hypotheses:

    1-3-1) First hypothesis: there is a significant relationship between information asymmetry and the volume of transactions.

    2-3-1) Hypothesis Second: There is a significant relationship between information asymmetry and trading frequency. 3-3-1) Third hypothesis: There is a significant relationship between information asymmetry and stock liquidity risk. 4-3-1) Fourth hypothesis: There is a significant relationship between information asymmetry and market liquidity. 5-3-1) Fifth hypothesis: A significant relationship between information asymmetry. and there is market liquidity risk. 6-3-1) Sixth hypothesis: There is a significant relationship between excess stock returns and liquidity of the company's stock. 7-3-1) Seventh hypothesis: There is a significant relationship between excess stock returns and company liquidity risk. 8-3-1) Eighth hypothesis: There is a significant relationship between excess stock returns and market liquidity.

    9-3-1) Ninth hypothesis: There is a significant relationship between excess stock returns and market liquidity risk.

    4-1) Purpose of implementation:

    The purpose of the upcoming research is to examine the relationship between information asymmetry and liquidity and liquidity risk. Does information asymmetry have a significant relationship with liquidity and liquidity risk? - If there is a relationship, how is this relationship? - Is it possible to control liquidity risk by controlling information asymmetry? There is a significant difference between information asymmetry and liquidity and liquidity risk by controlling the information asymmetry which can be calculated in the present study by measuring the gap between the offer price of buying and selling shares, the costs caused by liquidity risk such as the opportunity cost of holding cash, the cost of capital and so on.

    6-1) Research design:

    This research investigates the factors affecting information asymmetry by considering the variables of private companies as well as broad market factors.

    This study has a dual focus:

    First, it provides an integrated analysis of the factors affecting information asymmetry by considering the variables of private companies and market factors.

    Secondly, it examines the effects of liquidity and liquidity risk on excess stock returns.

    7-1) Data collection:

    The data related to the sample companies were first extracted from various sources, including the audited financial statements of the companies, listed in the official website of the stock exchange and Tadbir Pardaz and Rahevard Novin software.

    8-1) Statistical population and Sampling:

    The statistical population of this research includes all joint stock companies admitted to the stock exchange in the period from 1384 to 1389 (six-year period) that have the following characteristics:

    - Have been admitted to the stock exchange until the end of March 1383.

    In order to increase comparability, their financial year should end at the end of March.

    During the desired period of change

    Besides banks, investment companies or financial intermediaries, leasing, insurance companies and the like.

    Their transactions in the stock market have not had a long break. In other words, the shares of these companies have been active in the stock market during the mentioned years and have not had a break of more than three months.

    The number of samples of the current research, which was selected using elimination sampling, is 108 companies.

  • Contents & References of Investigating the relationship of information asymmetry with liquidity and liquidity risk in companies listed on the Tehran Stock Exchange

    List:

    The first chapter; Introduction and general research

    1-1. Introduction. 2

    2-1. Statement of the problem. 3

    3-1. Research hypotheses. 3

    4-1. Purpose of implementation 4

    5-1. Justification of the necessity of carrying out the plan. 5

    6-1. Research plan. 5

    7-1. Data collection 5

    1-8. Statistical society and sampling. 5

    1-9. Data analysis 6

    1-10. Research models. 6

    11-1. Research variables. 8

    1-12. Definition of keywords. 11

    13-1. Summary of the chapter. 12

    1-14. The framework of the next chapters. 12

    The second chapter; Literature and research background

    1-2. Introduction: 14

    2-2. Information asymmetry. 16

    3-2. Symmetric information. 16

    4-2. Asymmetric information. 16

    5-2. The importance of asymmetric information. 17

    6-2. Factors affecting information asymmetry. 17

    7-2. Criteria for measuring information asymmetry. 20

    8-2. The effect of information asymmetry. 21

    9-2. Efficient markets and information. 22

    10-2. Information asymmetry from different perspectives. 22

    1-10-2. The model of Akerlof et al. 22

    2-10-2. Tinic model. 23

    3-10-2. Kaplan and Vegali model. 25

    4-10-2. Kim and Vercchia model 26

    5-10-2. The model of Scott et al. 27

    11-2. Stock liquidity. 27

    12-2. Liquidity risk. 28

    13-2. Liquidity risk and asset prices 29

    14-2. Research background. 29

    1-14-2. Internal investigation. 29

    2-14-2. Foreign research. 34

    15-2. Summary of the chapter. 37

    The third chapter; Research method

    1-3. Introduction. 39

    2-3. Research method. 39

    3-3. Statistical population. 39

    4-3. Statistical sample. 40

    5-3. Hypotheses 42

    6-3. Research models. 42

    7-3. Research variables. 44

    8-3. Data collection method 48

    9-3. Statistical methods used 48

    10-3. Summary of the chapter. 48

    Chapter Four; Calculations and research findings

    1-4. Introduction. 50

    2-4. Descriptive statistics results. 50

    3-4. Analysis of the nature and characteristics of research variables. 52

    4-4. First part: Examining the effect of liquidity and liquidity risk on information asymmetry. 52

    5-4. The second part: Examining the effects of liquidity and liquidity risk on excess stock returns. 59

    6-4. Summary of the chapter. 66

    The fifth chapter; Conclusions and suggestions

    1-5. Introduction. 68

    2-5. Summary and conclusion. 68

    3-5. Practical suggestion. 71

    4-5. Suggestion for future research. 71

    Sources and sources. 72

    ABSTRACT. 77

     

    Source:

    Persian sources:

    1) Ahmadpour, Ahmed, Tassan, Amir, (1385), the relationship between financial information and the difference in the price of the purchase and sale of shares, Mahnameh Ekhmeni, vol. 2, no. 2, 1385, pages 29-48

    2) Amini, Morteza, (1387), risk Liquidity, accessible on the website http://eghtesadema.blogfa.com

    3) Hafeznia, Mohammad Reza, Introduction to Research Methodology in Human Sciences, Semit Publications, 14th edition, 2017

    4) Khodamipour, Ahmad, Qadiri, Mohammad, (2018) Examination of accruals and information asymmetry in Tehran Stock Exchange, Journal of Accounting Advances of Shiraz University, second term , number two, autumn and winter 2019, serial 3/59, pages 1-29

    5) Rahmani, Ali, Hosseini, Seyed Ali, Rezapour, Narges, (2019), the relationship between institutional ownership and stock liquidity in Iran, Accounting and Auditing Quarterly, Volume 17, number 42, autumn 2019, pp. 54-39

    6) Rahimian, Nizamuddin, Salehnejad, Hassan, Saleki, Ali, (1388) The relationship between some corporate governance mechanisms and information asymmetry in companies listed on the Tehran Stock Exchange, Accounting and Auditing Reviews, Volume 16, Number 58, Winter 1388, from pages 71 to 86

    7) Rahimian, Nizamuddin, Hemmati, Hassan, Soleimani Fard, Maliha, (1391), Investigating the relationship between profit quality and information asymmetry in companies listed on the Tehran Stock Exchange, Danesh Accounting Journal, third year, vol. 10, autumn 1391, pp. 157 to 181

    8) Rezazadeh, Javad, Azad, Abdallah, (1387), the relationship between information asymmetry and conservatism in financial reporting, Accounting and Auditing Reviews, Volume 15, no. 54, Winter 2017, from page 63 to 80

    9) Qaemi, Mohammad Hossein, Alavi, Seyed Mustafa, (2018) The relationship between the transparency of accounting information and cash balance, Accounting Research Quarterly.com

    3) Hafeznia, Mohammad Reza, Introduction to Research Methodology in Human Sciences, Semat Publications, 14th Edition, 1387

    4) Khodamipour, Ahmad, Qadiri, Mohammad, (1389) Examination of accruals and information asymmetry in Tehran Stock Exchange, Journal of Accounting Advances of Shiraz University, Second Term, Number Two, Autumn and Winter 1389, consecutive 3/59, pages 1-29

    5) Rahmani, Ali, Hosseini, Seyed Ali, Rezapour, Narges, (1389), the relationship between institutional ownership and stock liquidity in Iran, Accounting and Auditing Quarterly, Volume 17, Number 42, Fall 1389, pp. 54-39

    6) Rahimian, Nizamuddin, Nejad, Hassan, Saleki, Ali, (1388) The relationship between some corporate governance mechanisms and information asymmetry in companies listed on the Tehran Stock Exchange, Accounting and Auditing Reviews, Volume 16, Number 58, Winter 1388, from pages 71 to 86

    7) Rahimian, Nizamuddin, Hemti, Hassan, Soleimani Fard, Maleiha, (1391), examining the relationship between quality Profit and information asymmetry in companies listed on the Tehran Stock Exchange, Journal of Accounting Knowledge, third year, vol. 10, autumn 2011, pp. 157-181

    8) Rezazadeh, Javad, Azad, Abdallah, (2018), the relationship between information asymmetry and conservatism in financial reporting, Accounting and Audit Reviews, Volume 15, Number 54, Winter 2018. From page 63 to 80

    9) Qaemi, Mohammad Hossein, Alavi, Seyed Mustafa, (2013) Relationship between transparency of accounting information and cash balance, management accounting research quarterly, fifth year, number 12, spring 2011

    10) Qaemi, Mohammad Hossein, Watanparast Mohammad Reza. (1384), Investigating the role of accounting information in reducing information asymmetry in Tehran Stock Exchange, Accounting and Auditing Quarterly, 12th year, No. 4, Fall 1384, pp. 103-85

    11) Ghorbani, Saeed, Adili, Mojtabi, (1390), Cash retention, company value and information asymmetry, Accounting knowledge magazine, 3rd year, Vol. 8, Spring 1391, pp. 131 to 149

    12) Kashanipour, Mohammad, Momeni Yansari, Abolfazl, (2013), a review of information asymmetry and its measurement criteria in capital research, Proceedings of the 9th Iranian Conference, Zahedan, University of Sistan and Baluchistan, May 1390

    13) Kashanipour, Mohammad, Momeni Yansari, Abul Fazl (1387), Investigating the role of information asymmetry in capital structure decisions of companies listed on the Tehran Stock Exchange. 14) Garavand, Mohammad, Abdole Nejad, Saeed, Asymmetric Information, http://azarmohasebat.persiangig.com. And the usefulness of performance accounting criteria, Quarterly Journal of Accounting and Auditing, Number 42, Winter 2014, pp.124-97

    16) Moinuddin, Mahmoud, Naibzadeh, Shahnaz, Bakshish, Mahdieh, (2009), Investigation between information asymmetry and investment sensitivity - cash flow in Tehran Stock Exchange,

    17) Mehrani, Kaveh, Hesarzadeh, Reza, (1388), accounting quality and the level of cash retention, Stock Exchange Quarterly, second year, number 5

    18) Hashemi, Seyed Abbas, Sadeghi, Mohsen (1389), the relationship between information asymmetry and investment in capital assets, financial accounting and auditing journal, third year, number nine, spring 1390, from pages 49 to 67

    19) Yahiizadeh Far, Mahmoud, Khorramdin, Javad, (2007), the role of liquidity factors and the risk of illiquidity on excess stock returns in the Tehran Stock Exchange, Accounting and Auditing Review Quarterly, Volume 15, Number 53, Autumn 2017, from pages 101 to 118

    English sources:

    21) Amihud, Y., (2002), Illiquidity and stock returns: cross-section and time series effects, Journal of Financial Markets, Vol 5, pp. 31-56.

     

    22) Amihud, Y and Mendelson, H, (1986), Asset pricing and the bid-ask spread, Journal of Financial Economics, Vol.17, pp.223-249.

    22) Akins, B, Ng, J and Verdi R, (2009), Investor competition and the pricing of information asymmetry, Working paper.

    23) Bhattacharya, Neil, H.Desai and K.Venkataraman,(2009).“Earnings Quality and Information Asymmetry” Available at URL: http://www.ssrn.com.

    24) Chan, H., Faff, R. (2003), An investigation into the role of liquidity in asset pricing: Australian evidence. Pacific-Basin Finance Journal, Vol 11, pp.555-572

    25) Cormier, D., Aerts, W., Ledoux, M-J., and M, Magnan,( 2009), "Attributes of Social and Human Capital Disclosure and Information Asymmetry between Managers and Investors". Canadian Journal of Administrative Sciences, 26(1):71-88.

    26) Deuskar, P., (2006), Extrapolative expectations: implications for volatility and liquidity, AFA 2007 Chicago Meetings Paper. O'Hara, M, (2004), Information and the cost of capital, Journal of Finance, Vol.59, pp.1553-1583.

    29) Eckbo, B. Espen, Norli, Oyvind. (2005), Liquidity risk, leverage and long-run IPO returns, Journal of Corporate Finance, 11, pp. 1-35

     

    30) Fama, E. and K. French (1993), Common risk factors in the returns on stocks and bonds, Journal of Financial Economics, 33: 3-56.

     

    31) Longstaff, F., (2005), Asset pricing in markets with illiquid assets, University of California, Los Angeles- Finance Area; National Bureau of Economic Research (NBER)

Investigating the relationship of information asymmetry with liquidity and liquidity risk in companies listed on the Tehran Stock Exchange
How To Access The File
Related Contents:
Number of pages: 114 Category: Librarianship

Dissertation for receiving a master's degree major: Accounting Abstract: One of the topics that has been researched and discussed in the financial literature is the investigation of the relationship between the difference in the bid price of shares as a measure of the liquidity of shares and the capital structure. In this research, the difference in the bid price of shares as an ...

Number of pages: 258 Category: Librarianship

Dissertation for receiving a master's degree, specialization: accounting, abstract: according to the efficient market theory, one of the characteristics of an efficient and ideal market is the absence of transaction costs and, as a result, high liquidity. With the increase in liquidity, the cost of transactions will decrease significantly. Liquidity also plays an important role ...

Number of pages: 173 Category: Librarianship

Abstract The main goal of this research is to investigate the relationship between conservatism in financial reporting and the liquidity of shares of companies listed on the Tehran Stock Exchange. In this research, conservatism in financial reporting as an independent variable and 13 indicators of stock liquidity, including the number of stock trading days, the number of stock ...

Number of pages: 124 Category: Management

Dissertation for receiving a master's degree in business administration, specialization: Finance. Abstract: In this research, the relationship between profit transparency and liquidity risk in companies admitted to the Tehran Stock Exchange is investigated. In this research, we will check that increasing the transparency of companies' profits reduces liquidity risk. The ...

Number of pages: 122 Category: Librarianship

Academic thesis for obtaining a master's degree in the field of accounting: In this chapter, the main problem of the research is explained first, and then the importance and necessity of the research topic is explained, because creating liquidity for securities is considered one of the most important functions of capital markets. In fact, liquidity is the most important ...

Number of pages: 171 Category: Librarianship

Abstract: The aim of this research is to investigate the relationship between the sensitivity of asymmetric cash flow and cash retention in companies, with an emphasis on financial constraints. This research is a library and analytical-causal study and is based on panel data analysis. In this research, the financial information of 112 companies admitted to the Tehran Stock ...

Number of pages: 17 Category: Librarianship

Addressing the problem of the stock exchange is the main way of equipping and optimally allocating capital in the country, and knowing this market and the elements and connections in it is considered one of the most important factors in the capacity of the capital market. Investors are one of the important elements of this market. Investors have different goals for investing in ...

Number of pages: 134 Category: Librarianship

Thesis for obtaining a master's degree in the field: accounting, profit abstract is one of the items that investors pay attention to, and it is considered the basis of many important economic decisions. Interest has two components: cash and accrual, on the other hand, accrual items have two normal and abnormal parts. Some evidences show the fact that investors face many problems ...

Number of pages: 134 Category: Librarianship

Dissertation for receiving a master's degree, Major: Accounting, Abstract: Considering the importance of the liquidity of companies' shares in the capital market, the present research seeks to investigate the factors affecting liquidity. In this regard, the impact of dividend policies on the liquidity of companies' shares has been tested. In this research, multiple linear ...

Number of pages: 145 Category: Librarianship

Dissertation for Master's degree (M.Sc) Major: Accounting Abstract The main purpose of this research is to examine the relationship between stock liquidity and real profit management of companies listed on the Tehran Stock Exchange. The statistical population of the present research is the companies admitted to the Tehran Stock Exchange during the years 1382 to 1391, and the ...