Analysis and explanation of stock returns based on third and fourth order torques of non-systematic risk and the role of arbitrage constraints and investors' limited attention to it

The purpose of this study was to investigate the response of stock returns to non-systematic risk torque measurement models. The spatial scope of this research was the companies listed on the Tehran Stock Exchange and the time domain was between 2013and 2020. The present research is in the category of applied research. If the classification of types of research is considered based on the nature and method, the method of the present research is descriptive in terms of nature and is considered as a correlational research in terms of method. Based on the systematic elimination method, 152 companies were selected as a statistical sample. Descriptive and inferential statistics have been used to describe and summarize the collected data. In order to analyze the data, first the variance heterogeneity pre-tests, F-Limer test and Jark-Bra test were used, and then multivariate regression were used to confirm and reject the research hypotheses (EVIEWS software). The results showed the effect of unsystematic risk torques on future stock returns with increasing limited shareholder attention; Arbitrage restrictions as well as the simultaneous interaction between limited shareholder attention and arbitrage restrictions are intensifying; The obtained results eliminate the contradiction of studies and are consistent with the documents mentioned in the theoretical framework of research and financial literature.