Associate Professor, Accounting Department, South Tehran Branch, Islamic Azad University, Iran
10.22034/iaar.2020.107129
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.
Darabi, R. (2020). Idiosyncratic Volatility Function in Explanation of Stock Returns. Accounting and Auditing Research, 12(45), 147-170. doi: 10.22034/iaar.2020.107129
MLA
Roya Darabi. "Idiosyncratic Volatility Function in Explanation of Stock Returns". Accounting and Auditing Research, 12, 45, 2020, 147-170. doi: 10.22034/iaar.2020.107129
HARVARD
Darabi, R. (2020). 'Idiosyncratic Volatility Function in Explanation of Stock Returns', Accounting and Auditing Research, 12(45), pp. 147-170. doi: 10.22034/iaar.2020.107129
VANCOUVER
Darabi, R. Idiosyncratic Volatility Function in Explanation of Stock Returns. Accounting and Auditing Research, 2020; 12(45): 147-170. doi: 10.22034/iaar.2020.107129
)