Firm characteristics determaining Idiosyncratic volatility in Tehran Stock Exchange

Despite theoretical and empirical validity of capital asset pricing model, empirical evidence shows that investors ask Risk premium due to idiosyncratic volatility. Considering the idiosyncratic volatility in capital asset pricing، this study aims to Determine Firm characteristics which explain idiosyncratic volatility in Tehran Stock Exchange. In this study, we measured the idiosyncratic volatility, employing the 5 and 7 multi factor models and using the conditional and non-conditional methods. more over we investigate the relation between firms characteristics and idiosyncratic volatility by panel Regression. The research population contains the whole firms in Tehran Stock Exchange and OTC during 2011-2017, amongst them 82 firm were selected based on specified sampling conditions. Employing various Ivol measurements, our results show that book to market equity ratio, size، sales growth, asset growth and liquidity, are the Determinants of idiosyncratic volatility and firms with greater size, lower liquidity, lower sales growth, higher book to-market equity ratio, and lower Asset growth have less idiosyncratic volatility