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The Relationship between Lifecycle and Idiosyncratic Volatility with Emphasis on Fundamental and Information Uncertainty of Firms listed on the TSE
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MohammadOmid Akhgar *   1, Bahareh Mirzaee1 |
| 1- University of Kurdistan |
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Abstract: (1892 Views) |
| According to the importance and the increasing trend of idiosyncratic volatility in recent years, the study of factors affecting idiosyncratic volatility is one of the important issues in financial markets. So, the purpose of this study is to investigate the relationship between lifecycle and idiosyncratic volatility with emphasis on fundamental and information uncertainty. In this regard, 152 companies were evaluated for the period 2008-2016. Statistical method for hypothesis testing is multiple regression based on the panel data. Findings show that lifecycle has significant impact on the idiosyncratic volatility of firms. The results also show that fundamental uncertainty, as a moderator variable, has no significant impact on the relationship between the lifecycle and the idiosyncratic volatility but, information Uncertainty has significant impact on this relationship. Idiosyncratic volatility during introduction and decline is more than idiosyncratic volatility during growth and maturity. In addition, fundamental uncertainty has no significant impact on the relationship between the lifecycle and the idiosyncratic volatility but, information Uncertainty has significant impact on this relationship. |
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| Keywords: Idiosyncratic Volatility, Lifecycle, Fundamental Uncertainty, Information Uncertainty. |
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Full-Text [PDF 1045 kb]
(1288 Downloads)
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Type of Study: Research |
Subject:
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