Investigation of Relationship between Firm Llife Cycle and Idiosyncratic Volatility
Quarterly Journal of Securities Exchange

Quarterly Journal of Securities Exchange

Investigation of Relationship between Firm Llife Cycle and Idiosyncratic Volatility

Document Type : Original Article

Authors
Maryam Davallou
alireza azizi
Assistant Professor, Department of Finance and Accounting, Faculty of Management and Accounting, Shahid Beheshti University
10.22034/jse.2019.11159
Abstract
- - - - - The importance of idiosyncratic risk in recent years on the one hand and mixed evidence about impact of firm life cycle on idiosyncratic volatility on the other hand, has increased necessity to explain causes and origins of the mentioned relationship. Cash flow volatility and information uncertainty are some of the explanations. This study investigates the association between idiosyncratic volatility and firm life-cycle and evaluates the roles of cash flow volatility and information uncertainty in explaining this association. Using final sample consist 268 firm data from 1383 to 1394, this study shows that idiosyncratic volatility is significantly higher in the introduction and decline stages, and significantly lower in the growth and mature stages, when compared to shake out stage. Moreover, findings show cash flow volatility and information uncertainty just for mature stage differ from shake out and as a result explain lower idiosyncratic volatility of this stage.
Keywords
Cash Flow Volatility
Firm Life Cycle
Idiosyncratic Volatility
Information Uncertainty
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Quarterly Journal of Securities Exchange
Volume 12, Issue 47
Autumn 2019
Pages 48-75