Document Type : Research Paper

Authors

Abstract

The purpose of this research is the empirical test of idiosyncratic risk pricing in Tehran Stock Exchange during 1378 to 1389. The research is considered as “Ex-post facto” that has been done using “portfolio study approach” and is based on observational data. The statistical sample composed of 11880 firms/season observations from 270 listed companies in Tehran Stock Exchange. Results show that investors expect to compensate (obtain risk premium) for bearing idiosyncratic risk. The performance of momentum portfolios based on idiosyncratic risk always is positive and statistically significant. Furthermore, the robustness tests confirm that this positive performance is not influenced by weak trading effects, change in idiosyncratic volatility estimation method and weighting scheme of return computation

Keywords

بزرگ اصل، موسی و صاحبقرانی، امیرعباس ( 1392 ) پیش بینی بازده غیرعادی بر
مبنای مدل مبتنی ب ر شتاب سود و صنعت در بورس اوراق بهادا ر تهران، مطالعات
.67-53 ، تجربی حسابداری مالی، سال 11 ، شماره 38
2. مهرانی، ساسان، اسکندری، قربان و گنجی، حمیدرضا( 1393 ) رابطه بین کیفیت سود،
هموارسازی سود و ریسک سهام، مطالعات تجربی حسابداری مالی، سال 11 ، شماره
.139-117 ، 42
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