Studying Liquidity Premium Pricing, Size, Value and Risk of Market in Tehran Stock Exchange
Bibliographic record
Abstract
Capital asset pricing model (CAPM) considers systematic risk as the only risk priced by the market. In addition to systematic risk, Fama and French three-factor model indicates that the risk of firm size and book to market equity are also priced by the market. In addition to three risk factors addressed by Fama and French, liquidity risk and its pricing by investors in Tehran Stock Exchange is studied by a multivariable regression between 2004 through 2008. Research findings indicate that stock return in Tehran Stock Exchange can be clarified by four factors including market excess return, firm size, BE/ME ratio and stock transaction turnover in a relative plausible level (%40 in average). In the meantime, a significant relationship is observed between market excess share, firm share and stock return. No significant relationship is seen between BE/ME ratio and stock transaction turnover and stock return. In other word, only market risk and firm size (ME) are priced by market.
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How this classification was reachedexpand
Full frame machine prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.
Distilled classifier scores by category (both heads)
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.001 | 0.002 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 0.000 |
| Bibliometrics | 0.001 | 0.001 |
| Science and technology studies | 0.000 | 0.000 |
| Scholarly communication | 0.001 | 0.001 |
| Open science | 0.000 | 0.000 |
| Research integrity | 0.000 | 0.001 |
| Insufficient payload (model declined to judge) | 0.001 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".