THE INVESTIGATION OF THE IMPORTANCE OF INDIVIDUAL SECURITIES IDIOSYNCRATIC RISK: ANOTHER LOOK AT IDIOSYNCRATIC RISK AND EXPECTED RETURNS

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NIKUSOKHAN MOIEN; FADAEINEJAD MOHAMMADESMAEIL

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Journal: JOURNAL OF FINANCIAL MANAGEMENT STRATEGY Year:2018 | Volume:6 | Issue:20 Page(s): 1-24

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Title

THE INVESTIGATION OF THE IMPORTANCE OF INDIVIDUAL SECURITIES IDIOSYNCRATIC RISK: ANOTHER LOOK AT IDIOSYNCRATIC RISK AND EXPECTED RETURNS

Author(s)

NIKUSOKHAN MOIEN | FADAEINEJAD MOHAMMADESMAEIL | Issue Writer Certificate

Keywords

IDIOSYNCRATIC RISKQ1

EXPECTED RETURNSQ2

GARCH-IN-MEAN MODELQ1

FIRM CHARACTERISTICQ1

Abstract

This study investigates the relationship between IDIOSYNCRATIC RISK and return based on the model (GARCH)-in-mean for individual by individual securities in Tehran Stock Exchange during the period from 2001 to 2015. The evidence suggests that, on average, 27% of stocks experienced a significant relationship between IDIOSYNCRATIC RISK and return. This is the way that companies with a negative relationship comprise a far greater proportion than those with a positive relationship in changes with the proportion of all securities (19%). The results of investigating the effect of characteristics on the probability of a significant relationship between returns and IDIOSYNCRATIC RISK indicate that some characteristics influence the probability of a positive and a negative relationship, while the rest of characteristics appear to affect only a positive or negative relationship. This evidence implies that the factors that explain a positive connection between IDIOSYNCRATIC RISK and returns are different from the factors that explain a negative connection.

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APA: Copy

NIKUSOKHAN, MOIEN, & FADAEINEJAD, MOHAMMADESMAEIL. (2018). THE INVESTIGATION OF THE IMPORTANCE OF INDIVIDUAL SECURITIES IDIOSYNCRATIC RISK: ANOTHER LOOK AT IDIOSYNCRATIC RISK AND EXPECTED RETURNS. JOURNAL OF FINANCIAL MANAGEMENT STRATEGY, 6(20 ), 1-24. SID. https://sid.ir/paper/261613/en

Vancouver: Copy

NIKUSOKHAN MOIEN, FADAEINEJAD MOHAMMADESMAEIL. THE INVESTIGATION OF THE IMPORTANCE OF INDIVIDUAL SECURITIES IDIOSYNCRATIC RISK: ANOTHER LOOK AT IDIOSYNCRATIC RISK AND EXPECTED RETURNS. JOURNAL OF FINANCIAL MANAGEMENT STRATEGY[Internet]. 2018;6(20 ):1-24. Available from: https://sid.ir/paper/261613/en

IEEE: Copy

MOIEN NIKUSOKHAN, and MOHAMMADESMAEIL FADAEINEJAD, “THE INVESTIGATION OF THE IMPORTANCE OF INDIVIDUAL SECURITIES IDIOSYNCRATIC RISK: ANOTHER LOOK AT IDIOSYNCRATIC RISK AND EXPECTED RETURNS,” JOURNAL OF FINANCIAL MANAGEMENT STRATEGY, vol. 6, no. 20 , pp. 1–24, 2018, [Online]. Available: https://sid.ir/paper/261613/en

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