عنوان مقاله [English]
نویسندگان [English]چکیده [English]
In this paper, the ability of a number of main explanatory factors of the idiosyncratic risk utilized in the recent literature, including size, book-to-market, turnover, market leverage, earnings per share and institutional ownership in Tehran Stock Exchange during the period 2009–2016 have been investigated. So, to analyse the relationship between characteristics and idiosyncratic risk in a cross-section of securities Fama-MacBeth regression (1973) and for individual securities, Time-Series regression were used. The results of cross-sectional analysis, it is suggested that only firm size and share turnover are useful in investment analysis as indicators of the relative idiosyncratic risk across all securities. On the other hand, in the analysis of the individual securities, the results show that the proportion of securities with a significant relationship between a given characteristic and idiosyncratic risk, is very small. Therefore, a great number of considered characteristics are poor predictors of the future idiosyncratic risk changes in a given security.
10. Cao, X., Xu, Y. (2010). “Long-run Idiosyncratic Volatilities and Cross-sectional Stock Returns”. University of Texas at Dallas, Working Paper.
11. Dennis, P., Strickland, D. (2009). “The determinants of idiosyncratic volatility”. University of North Carolina, Working Paper.
12. Ferreira, MA., Laux, PA. (2007). “Corporate Governance, Idiosyncratic Risk and Information Flow”, Journal of Finance, 62, 951-989.
13. Fink, J., Fink, K., He, H. (2010). “Idiosyncratic volatility measures and expected return”. James Madison University, Working Paper.
14. Frieder, L., Jiang, GJ. (2007). “Separating Up from Down: New Evidence on the Idiosyncratic Volatility-Return Relation”. American Finance Association Annual Meeting, 4-6 January, New Orleans
15. Fu, F. (2009). “Idiosyncratic risk and the cross-section of expected stock returns”, Journal of Financial Economics, 91, 24-37.
16. Goetzmann, WN., Kumar, A. (2008). “Equity portfolio diversification”, Review of Finance, 12, 433-463
17. Goyal, A., Santa-Clara, P. (2003). “Idiosyncratic risk matters!”, Journal of Finance, 58, 975-1007.
18. Irvine, PJ., Pontiff, JE. (2009). “Idiosyncratic return volatility, cash flows, and product market competition”, Review of Financial Studies, 22, 1149-1177.
19. Jiang, GJ, Xu, D., Yao, T. (2009). “The information content of idiosyncratic volatility”, Journal of Financial and Quantitative Analysis, 44, 1-28.
20. Liu, B., Di Iorio, A., De Silva, A. (2014). “Do stock fundamentals explain idiosyncratic volatility? Evidence for Australian stock market”, European Financial Management Association (EFMA): Annual Meetings, 25-28 June, Rome
21. Malkiel, BG., Xu, Y. (2003). “Investigating the behavior of idiosyncratic volatility”, Journal of Business, 76, 613-644.
22. Merton, RC. (1987). “A simple model of capital market equilibrium with incomplete information”, Journal of International Financial Markets, Institutions & Money, 27, 35-46.
23. Pastor, L., Veronesi, P. (2003). “Stock Valuation and Learning about Profitability”, Journal of Finance,58,1749-1789.
24. Vozlyublennaia, N. (2011). “The cross-section of dynamics in idiosyncratic risk”, Journal of Empirical Finance, 18, 461-473.
25. Vozlyublennaia, N. (2013). “Do firm characteristics matter for the dynamics of idiosyncratic risk?”, Journal of International Financial Markets, Institutions & Money, 27, 35-46.
26. Wei, SX., Zhang, C. (2005). “Idiosyncratic risk does not matter: a re-examination of the relationship between average returns and average volatilities”, Journal of Banking and Finance, 29, 603-621.