Idiosyncratic Volatility Function in Explanation of Stock Returns

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DARABI ROYA

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Journal Paper

Paper Information

Journal: JOURNAL OF ACCOUNTING AND AUDITING RESEARCHES (ACCOUNTING RESEARCH) Year:2020 | Volume:12 | Issue:45 Page(s): 147-170

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Information Journal Paper

Title

Idiosyncratic Volatility Function in Explanation of Stock Returns

Author(s)

DARABI ROYA | Issue Writer Certificate

Keywords

Stock ReturnsQ2

Idiosyncratic VolatilityQ1

Size FactorQ1

Value FactorQ1

Momentum FactorQ1

Abstract

The main objective of this study it to test the relation between stock return and Idiosyncratic Volatility in the three aforesaid models and compare the explanatory power of stock return by Idiosyncratic Volatility in each of these models. The sample used in this study obtained through screening method includes 118 companies admitted to Tehran Stock Exchange from 2011 to 2017 and Panel Data method is used to tests hypotheses. The results of hypotheses testing indicate that there is significant relation between stock return and Idiosyncratic Volatility in the three models investigated under this study and the explanatory power of stock return by Idiosyncratic Volatility in Carhart four-factor model is higher compared to other two models.

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APA: Copy

DARABI, ROYA. (2020). Idiosyncratic Volatility Function in Explanation of Stock Returns. JOURNAL OF ACCOUNTING AND AUDITING RESEARCHES (ACCOUNTING RESEARCH), 12(45 ), 147-170. SID. https://sid.ir/paper/397163/en

Vancouver: Copy

DARABI ROYA. Idiosyncratic Volatility Function in Explanation of Stock Returns. JOURNAL OF ACCOUNTING AND AUDITING RESEARCHES (ACCOUNTING RESEARCH)[Internet]. 2020;12(45 ):147-170. Available from: https://sid.ir/paper/397163/en

IEEE: Copy

ROYA DARABI, “Idiosyncratic Volatility Function in Explanation of Stock Returns,” JOURNAL OF ACCOUNTING AND AUDITING RESEARCHES (ACCOUNTING RESEARCH), vol. 12, no. 45 , pp. 147–170, 2020, [Online]. Available: https://sid.ir/paper/397163/en

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