عنوان مقاله [English]
The purpose of this study is to explain the opposite of the idiosyncratic volatility based on breaking up the idiosyncratic volatility into expected idiosyncratic volatility (EIV) and unexpected idiosyncratic volatility (UIV) and analyzing its split effects on the explanation of cross-sectional changes of individual stock. This relationship is studied in a sample consisting of 95 companies approved in the Tehran Stock Exchange during the years 2002 and 2011 using Fama-Macbeth regression model (1973) and the portfolio approach. The evidences from the study show that EIV alone is not able to explain the return changes, so by taking both EIV and UIV simultaneously, the positive coefficient of UIV becomes meaningful in terms of the statistics. If size, book value to market value ratio, momentum, liquidity and dilatory effect are controlled, the results would remain the same. So it seems like the main source of the opposite of the idiosyncratic volatility in Tehran Stock Exchange is caused by the unexpected idiosyncratic volatility.
 دولّو، مریم. (1391)، آزمون جامع قیمتگذاری ریسک غیرسیستماتیک: شواهدی از بورس اوراق بهادار تهران، پایان نامه دکتری، دانشگاه شهید بهشتی.
 Ang, A, Hodrick, R, Xing, Y and Zhang, X. (2006).the Cross-Section of Volatility and Expected Returns”, Journal of Finance, 61, 259-299.
 Bali, T and Cakici, C. (2006). Idiosyncratic Volatility and the Cross-Section of Expected Returns, Journal of Financial and Quantitative Analysis, forthcoming.
 Chua, C, Goh, J and Zhang, Z. (2010). Expected Volatility, Unexpected Volatility and the Cross-section of Stock Returns, Journal of Financial Economics, 2, 103-123.
 Fu, F. (2009). Idiosyncratic Risk and the Cross-Section of Expected Stock Returns, [Online] (Cited 28 April 2014) Available From www.SSRN.com>.
 Guo, H and Savickas, R. (2005). Idiosyncratic Volatility, Stock Market Volatility, and Expected Stock Returns, Working Paper.
 Malkiel, B and Xu, Y. (2006). Idiosyncratic Risk and Security Returns, Working paper, University of Texas at Dallas.