Clarifying the Relationship between the Return and the Simultaneous Volatility of Stock Returns Utilizing Investment Options Pattern

The aim of this study is clarifying the relationship between the return and the simultaneous volatility of stock returns utilizing investment options pattern. Covariance of return and volatility (based on standard deviation of stock return) as the dependent variable and investment options, based on four measures including: firm size, firm age, sale revenue growth and market value to book value ratio, as the independent variable have been calculated. In the developed model of research, effects of two factors were studied as the control variable, including: flexibility of management decisions and performance of the Fama French model on the relationship between the return and the simultaneous volatility. The results of the multiple regression using data of 63 companies in the sample between 2006 and 2015 show, 95% confidence level, variables which affect real options and control variables, will also affect the relationship between the return and simultaneous volatility of return. More the amount of options for a company gives the stronger effect.