Informational uncertainty a criterion to explain stock returns (Behavioral Approach)

The aim of this study is to investigate the informational uncertainty as a criterion to explain stock returns by a behavioral approach to the companies listed on the Tehran Stock Exchange. The informational uncertainty criteria include the book value to market value (BV / MV), company age (Age), the size of the entity (MV), lowest price to the highest price of the stock ratio (LHR), the standard deviation of stock returns (STD) and the standard deviation of operating cash flow (CFVOLA). To investigate this issue a main hypothesis and four sub-hypotheses developed for this purpose and data of 99 companies of Tehran Stock Exchange was analyzed for the period 2007 to 2014. Results show that for all the variables except for STD (standard deviation of stock returns), by increasing the degree of informational uncertainty, stock returns trend increases for winning portfolios.