Abstract

Each financial market in compliance with broadness and depth has several diverse tools for making investment and investors make investment according to return and asset risk. There are different types of risk and investors due to each of them demand for taking risk. In this research, the effect of information quality is studied by regarding liquidity risk, effect of information quality by regarding risk of market on non-ordinary return at Fama-French three model factor. In this research the stock return influenced by Small Minus Big (SMB) and High Minus Low (HML) that are available at Fama-French three model factor was eliminated. In addition corporate properties and market are considered as market risk variables and liquidity risk. Results show that model is acceptable.

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