Jafar Babajani; Javad Ebadi; Nasrin Moradi
Abstract
Behavioural finance approach gives us the possibility that in addition to the traditional concept of finance, human behaviour and psychological factors also result in variances in stock prices. In fact, this paper uses behavioural approach to transparency and understanding the impact of accidental and ...
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Behavioural finance approach gives us the possibility that in addition to the traditional concept of finance, human behaviour and psychological factors also result in variances in stock prices. In fact, this paper uses behavioural approach to transparency and understanding the impact of accidental and non-rational factors such as emotions on decision making process, to help decision makers.The research tries to answer these questions: Do mutual funds active in the Tehran Stock Exchange act according to herding behaviour? If they do, what kind of stocks (growth or value) and what kind of companies stock (in term of size, large or small) are the target of these acts? The hypotheses are as follows:− Mutual fund joint venture between herding behaviour exists in the Tehran Stock Exchange.− Herding behaviour of mutual fund is more common on smaller companies.− Herding behaviour of mutual fund shares on further growth.− Herding behaviour of mutual fund when purchasing less than sales growth is in stock.Herding behaviour of mutual fund when purchasing more than sales degrade is in stock
S.M Shariat Panahi; J. Ebadi; M. Peimani
Volume 8, Issue 31 , October 2010, , Pages 101-119
Abstract
Maximizing of wealth or better say, end of period expected utility is the main goal of investors. But because of uncertainty of price changes, investors act in an unsafe environment and any risk reduction will redound to decreasing in expected return. Because of this, determining of the best measure ...
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Maximizing of wealth or better say, end of period expected utility is the main goal of investors. But because of uncertainty of price changes, investors act in an unsafe environment and any risk reduction will redound to decreasing in expected return. Because of this, determining of the best measure of risk is so important in finance.
There are many measures to quantify risk of investment. In this paper, we compare some of these measures of risk based on their ability to predict return in various time horizons. Therefore, four measure of risk (standard deviation, mean absolute deviation, semi standard deviation and value at risk) are selected from common and downside risk family and their abilities to forecasting return in one, two and three months periods are examined. Our analysis method is panel regression and results are conducted based on R-squared and nested regressions method. Our sample contains 66 Tehran Stock Exchange listed companies in time period of 1383 to 1387. Our results depict that semi standard deviation and value at risk have a better performance especially in one month prediction.