Ahmad Badri; Neda Goodarzi
Volume 11, Issue 43 , October 2014, , Pages 57-88
Abstract
Abstract
Individuals are thought to make biased judgments under uncertainty, because limited time and cognitive resources lead them to apply heuristics like representativeness. Representativeness is the tendency of individuals to classify things into discrete groups based on similar characteristics.
In ...
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Abstract
Individuals are thought to make biased judgments under uncertainty, because limited time and cognitive resources lead them to apply heuristics like representativeness. Representativeness is the tendency of individuals to classify things into discrete groups based on similar characteristics.
In order to measure the representativeness bias, we examine the relation between past trends and sequences in financial performance and future returns in Tehran stock exchange (TSE) between1380-1390. We also investigate the impact of consistent sequence of financial performance in future return. Finally, the study examines the effect of subsequent performance that confirms or contradicts past pattern of growth on the predictability of future returns. The study uses annual data consisted of 800 firms-year and 3200 firms-quarter. The main research methodology is portfolio study. This study calculates financial growth rates over two periods: one year (four rolling quarters) and five years (using annual data). Three accounting measures of performance are calculated: sales, net income, and operating income.
The results indicate that the abnormal returns in one-year trend are significantly positive. But abnormal returns in the year after five years of high or low growth are statistically and economically insignificant. In addition, we find little evidence about the consistency or pattern of firm performance effects on expectations of future returns. Finally, the past trend and pattern of growth do not lead to predictable returns following subsequent performance that confirms or contradicts this past trend.
Mohamad Arab mazar yazdi; Ahmad Badri; AFSHIN Azizian
Volume 10, Issue 39 , October 2013, , Pages 1-27
Abstract
Herding behavior is among the most noticed biases in behavioral finance. This bias implies that investors unknowingly neglect personal information and analyses; instead they tend to follow other investors or the whole market. Using Tehran Exchange stocks transactions data, this study empirically ...
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Herding behavior is among the most noticed biases in behavioral finance. This bias implies that investors unknowingly neglect personal information and analyses; instead they tend to follow other investors or the whole market. Using Tehran Exchange stocks transactions data, this study empirically examines herding behavior in this market. Two models based on cross-sectional deviation of stock returns and another model based on beta in state-space structure are utilized in our research. The sample covers 21,112 weekly returns and transaction volumes observations from April 2005 to April 2011. Our findings indicate that participants often lack independent investment decisions; i.e. they prefer following other investors’ decisions to taking an independent approach. This confirms that herding behavior exists in Tehran Stock Exchange. Moreover, evaluating comparative power of our three models suggests that the model based on beta is more powerful in explaining herding behavior than the other model.
Gholamreza Soleimani Amiri; Narges Goodarzi
Volume 10, Issue 39 , October 2013, , Pages 83-104
Abstract
As the amount of dividend is one of the effective and final factors in investor decision making, dividend policy of companies that decides the amount of dividend, could play a very important role in making decisions. Dividend policy is reciprocally influenced by individual behavioral specifications. ...
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As the amount of dividend is one of the effective and final factors in investor decision making, dividend policy of companies that decides the amount of dividend, could play a very important role in making decisions. Dividend policy is reciprocally influenced by individual behavioral specifications. These specifications have an extensive coverage from which a few has been selected for this study. By measuring limits of patience and loss aversion of shareholders this study is trying to analyze their relations with companies’ dividend policy.The necessary data for trial assumptions, belonging to 77 companies for a period of 5 years between 1386-90, has been collected from Tehran stock exchange data base .the relation between variables have been examined by testing correlation coefficients and multiple regressions. Study shows there is no meaningful relation among percentage of dividend and stockholders patience, based on effecting date of dividend payment measurement and the amount of adjusted earnings per share measurement of companies accepted in Tehran stock exchange. On the other hand relation between dividend ratio percentage and measurement of companies profit growth is meaningful but to the contrary. So based on index of companies profit growth, a meaningful relation exists between payable dividend policy and loss aversion of shareholders. According to the market risk measurement, has no meaningful relation between loss aversion and dividend policy. Dividend Policy, Behavioral Finance, Patient Shareholders, Loss Averse Shareholders. Assistant
A. Saeedi; F. Rahnama Roodposhti; F. Bikzadeh Abbasi
Volume 8, Issue 31 , October 2010, , Pages 121-141
Abstract
Two techniques which are used in stock markets and most investigators and market analysts used are contrarian and momentum investing strategies. These strategies help investors to predict future performance based on past performance. Momentum investing strategy move the same way as the market ...
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Two techniques which are used in stock markets and most investigators and market analysts used are contrarian and momentum investing strategies. These strategies help investors to predict future performance based on past performance. Momentum investing strategy move the same way as the market stock move. In contrast, contrarian investing strategy acts vice versa.
In this paper, for the period of 2005- 2007 different formation periods (1 to 6 month) and holding periods (1 to 36 month) are examined. The results show each strategy is profitable in a specific formation periods and holding periods. For formation periods from 1 to 4 month, momentum strategy is profitable and for formation periods from 5 and 6 month, contrarian strategy creates profitable portfolios.
The best momentum effect is seen in formation periods of 4 month and holding periods of 36 month. Also, the best contrarian effect is seen in formation periods of 5 month and holding periods of 35 month.
