IDIOSYNCRATIC RISK AND MARKET FRICTION IN INVESTMENT PROCESS

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GHOLIPUR KHANEGAH MEHDI; EYVAZLOO REZA; MAHMOODZADE SAEED; MEHDI RAMESHG

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Journal: INVESTMENT KNOWLEDGE Year:2017 | Volume:6 | Issue:22 Page(s): 13-27

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Information Journal Paper

Title

IDIOSYNCRATIC RISK AND MARKET FRICTION IN INVESTMENT PROCESS

Author(s)

GHOLIPUR KHANEGAH MEHDI | EYVAZLOO REZA | MAHMOODZADE SAEED | MEHDI RAMESHG | Issue Writer Certificate

Keywords

IDIOSYNCRATIC RISKQ1

IDIOSYNCRATIC VOLATILITYQ1

MONOTONIC RELATIONSHIP AND MARKET FRICTIONQ1

Abstract

Merton (1987) believes that under market friction, where investors pose limitations in access to information, stocks with high IDIOSYNCRATIC VOLATILITY have higher expected return, because investors are not able to decrease company specific risk through diversification. As in classical point of view, it is assumed that investors are just subject to systematic risk and only mentioned risk will be priced. Based on that view, unsystematic risk completely managed via diversification, while because of information cost and transaction cost in real world, investors hold limited number of stocks in their portfolios. This paper is going to study IDIOSYNCRATIC RISK and return in Tehran Stock Exchange using monotonic relationship. Our findings don’t approve monotonic relationship between expected return of IDIOSYNCRATIC RISK. Furthermore our results show that average return of high idiosyncratic portfolios is greater than low idiosyncratic portfolios.

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APA: Copy

GHOLIPUR KHANEGAH, MEHDI, EYVAZLOO, REZA, MAHMOODZADE, SAEED, & MEHDI, RAMESHG. (2017). IDIOSYNCRATIC RISK AND MARKET FRICTION IN INVESTMENT PROCESS. INVESTMENT KNOWLEDGE, 6(22 ), 13-27. SID. https://sid.ir/paper/188193/en

Vancouver: Copy

GHOLIPUR KHANEGAH MEHDI, EYVAZLOO REZA, MAHMOODZADE SAEED, MEHDI RAMESHG. IDIOSYNCRATIC RISK AND MARKET FRICTION IN INVESTMENT PROCESS. INVESTMENT KNOWLEDGE[Internet]. 2017;6(22 ):13-27. Available from: https://sid.ir/paper/188193/en

IEEE: Copy

MEHDI GHOLIPUR KHANEGAH, REZA EYVAZLOO, SAEED MAHMOODZADE, and RAMESHG MEHDI, “IDIOSYNCRATIC RISK AND MARKET FRICTION IN INVESTMENT PROCESS,” INVESTMENT KNOWLEDGE, vol. 6, no. 22 , pp. 13–27, 2017, [Online]. Available: https://sid.ir/paper/188193/en

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