TY - JOUR ID - 59768 TI - A Multiscale Pricing Model with the Wavelet Analysis Approach, Fama-French Three-Factor Model, and Nonliquidity in Tehran Stock Exchange JO - Iranian Journal of Finance JA - IJF LA - en SN - 2676-6337 AU - Rostami, Mohammadreza AU - Pouyanfard, Reyhane AU - Hashempour, Maryam AD - Associate Prof, Faculty of Social Science & Economics, Alzahra University AD - Alzahra University Y1 - 1999 PY - 1999 VL - 1 IS - 2 SP - 7 EP - 20 KW - BV/MV ( The ratio of book value to market value) KW - Company Size KW - beta KW - wavelet analysis DO - 10.22034/ijf.2017.59768 N2 - 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. UR - https://www.ijfifsa.ir/article_59768.html L1 - https://www.ijfifsa.ir/article_59768_4995430ce9bc5f032c1011c800dc0719.pdf ER -