Abstarct: There is a fast-growing and controversial literature dealing with the impact of idiosyncratic volatility (Ivol) on stock returns. Standard asset pricing models, such as the Capital Asset Pricing and Fama-French models conclude that only systematic risk factors should be related to future returns. This is because firm specific (idiosyncratic) risk can be eliminated by diversification. However many investors hold undiversified portfolios for a variety of reasons. In these situations, firm specific risk may affect future returns. This study follow these four purpose : 1- investigation of relation between expected idiosyncratic volatility and return. 2- investigation of relation between realized idiosyncratic volatility and return. 3- investigation of relation between realized idiosyncratic volatility and firm size. 4- investigation of relation between realized idiosyncratic volatility and book to market ratio. To investigate of these relations,at the first,population and sample are Determined and then return,size and book to market ratio are Obtained by Excel.After that, Fama-french model Estimated by Eviews. Standard deviation of residuals,be considered as idiosyncratic volatility.At the end,The relations between Variables investigated by SPSS.