The Impact of the Particular Characteristics of the Company on Idiosyncratic Risk of Securities Stock Exchanges Evidences from Tehran

In this paper, the ability of a number of main explanatory factors of the idiosyncratic risk utilized in the recent literature, including size, book-to-market, turnover, market leverage, earnings per share and institutional ownership in Tehran Stock Exchange during the period 2009–2016 have been investigated. So, to analyse the relationship between characteristics and idiosyncratic risk in a cross-section of securities Fama-MacBeth regression (1973) and for individual securities, Time-Series regression were used. The results of cross-sectional analysis, it is suggested that only firm size and share turnover are useful in investment analysis as indicators of the relative idiosyncratic risk across all securities. On the other hand, in the analysis of the individual securities, the results show that the proportion of securities with a significant relationship between a given characteristic and idiosyncratic risk, is very small. Therefore, a great number of considered characteristics are poor predictors of the future idiosyncratic risk changes in a given security.