THE IMPACT OF THE PARTICULAR CHARACTERISTICS OF THE COMPANY ON IDIOSYNCRATIC RISK OF SECURITIES STOCK EXCHANGES EVIDENCES FROM TEHRAN

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NIKUSOKHAN MOIEN; FADAEI NEJAD ESMAEIL

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

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Journal: JOURNAL OF SECURITIES EXCHANGE Year:2017 | Volume:9 | Issue:36 Page(s): 5-27

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Title

THE IMPACT OF THE PARTICULAR CHARACTERISTICS OF THE COMPANY ON IDIOSYNCRATIC RISK OF SECURITIES STOCK EXCHANGES EVIDENCES FROM TEHRAN

Author(s)

NIKUSOKHAN MOIEN | FADAEI NEJAD ESMAEIL | Issue Writer Certificate

Keywords

IDIOSYNCRATIC RISKQ1

FAMA-MACBETH REGRESSION (1973)Q2

TIME-SERIES REGRESSIONQ1

CHARACTERISTICS OF THE COMPANYQ2

Abstract

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.

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APA: Copy

NIKUSOKHAN, MOIEN, & FADAEI NEJAD, ESMAEIL. (2017). THE IMPACT OF THE PARTICULAR CHARACTERISTICS OF THE COMPANY ON IDIOSYNCRATIC RISK OF SECURITIES STOCK EXCHANGES EVIDENCES FROM TEHRAN. JOURNAL OF SECURITIES EXCHANGE, 9(36 ), 5-27. SID. https://sid.ir/paper/187767/en

Vancouver: Copy

NIKUSOKHAN MOIEN, FADAEI NEJAD ESMAEIL. THE IMPACT OF THE PARTICULAR CHARACTERISTICS OF THE COMPANY ON IDIOSYNCRATIC RISK OF SECURITIES STOCK EXCHANGES EVIDENCES FROM TEHRAN. JOURNAL OF SECURITIES EXCHANGE[Internet]. 2017;9(36 ):5-27. Available from: https://sid.ir/paper/187767/en

IEEE: Copy

MOIEN NIKUSOKHAN, and ESMAEIL FADAEI NEJAD, “THE IMPACT OF THE PARTICULAR CHARACTERISTICS OF THE COMPANY ON IDIOSYNCRATIC RISK OF SECURITIES STOCK EXCHANGES EVIDENCES FROM TEHRAN,” JOURNAL OF SECURITIES EXCHANGE, vol. 9, no. 36 , pp. 5–27, 2017, [Online]. Available: https://sid.ir/paper/187767/en

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