Trend of Idiosyncratic Return and Idiosyncratic Return Volatility over the Time

This research investigates the effect of time on idiosyncratic return and idiosyncratic return volatility in the companies listed in Tehran Stock Exchange during a period of twelve years (from 2001 to 2012). This study uses three-factor model of Fama and French (1993) to measure the idiosyncratic return. Data analysis for this study is conducted using multiple linear regressions with use of panel data. The results show that the idiosyncratic return and idiosyncratic return volatility has decreased over time. This result means that investment risk in Tehran's stock market has gradually decreased over the last twelve years.