Document Type : Research Paper
Authors
1 Professor, Allameh Tabataba’i University,
2 PhD Student, Allameh Tabataba’i University
3 Associate Professor, Allameh Tabataba’i University
Abstract
According to Prospect Theory, Investors have different behaviors in the
profit and loss situations and indeed their trading behavior is different in bull
and bear markets. This study uses quantile regression model (in different
quartiles) and OLS model to estimate beta of 180 firms. Results showed that
first, equity total risk (standard deviation) increase in Upper quartile and
second, stocks beta changes in different quartiles and by moving from
quartile 0.25 to quartile 0.75, systematic risk (beta) increases significantly.
Linear regression model and Quantile regression model show also that
unexpected variance can explain excess return at least similar to expected
variance. The results can also be interpreted with both Insight of standard
finance and insight of behavioral finance. In standard finance area, riskreturn
positive relation that exists in upper quintiles is consistent with long
run growth of economy. Moreover, negative relation between return and risk
in lower quintiles imply more uncertainty and as a result causing stock
returns to fall. In behavioral finance area, regime-dependent behavior of
slope coefficients is consistent with prediction of Prospect theory of
investor’s behaviors around the reference point.
Keywords
. حسابداری مالی. سال یازدهم، شماره 43 . ص 59
جهانگیری راد، مرفوع، محمد، و سلیمی، محمد جواد ( 1393 ) بررسی رفتار گروهی سرمایه گذاران در بورس اوراق بهادار تهران. فصلنامه مطالعات تجربی حسابداری مالی.
. سال یازدهم، شماره 42 . ص 142
ANG, A. AND J. CHEN .2002. “Asymmetric Correlations of Equity Portfolios”, Journal ofFinancial Economics, 63, 443-494.
ANG, A. AND J. CHEN 2007. “CAPM over the long run: 1926-2001”, Journal of Empirical Finance, 14, 1-40
Antoniou, A., Koutmos, G., & Pericli, A. 2005. Index futures and positive feedback rading:Evidence from major stock exchanges. Journal of Empirical Finance, 12, 19-38.
Baillie, R., & R. DeGennaro. 1990. Stock returns and volatility. Journal of Financial and Quantitative Analysis, 25, 203–214.
Barberis, N., Huang, M., 2009. Preferences with frames: A new utility specification that allows for the framing of risks. Journal of Economic Dynamics and Control 33, 1555–1576.
Barnes, M., & Hughes, A.W. 2002. A Quantile Regression Analysis of the Cross Section of Stock Market Returns. Available at SSRN: http://ssrn.com/abstract=458522.
Bollerslev, T., Chou, R. Y., & Kroner, K. F. 1992. ARCH modeling in finance: A review of the theory and empirical evidence. Journal of Econometrics, 52, 5-59.
BOYER, B.H., KUMAGAI, T. AND K. YUAN 2006. “How Do Crises Spread? Evidence from Accessible and Inaccessible Stock Indices”, Journal of Finance, 61, 2, 957-1003
Breen, W., Glosten, L., & Jagannathan, R. 1989. Economic significance of predictable variations in stock index returns. Journal of Finance, 44, 1177–1189.
Campbell, J. 1987. Stock returns & the term structure. Journal of Financial Economics, 18, 373-399.
Chiang, T. C. and Li, J. 2012. Stock returns and risk: Evidence from quantile. Journal of Risk and Financial Management, 5, 20-58.
Engle, R. 1995. ARCH: Selected Readings. Oxford University Press, New York, NY.
ENGLE, R., BOLLERSLEV, T. AND J. WOOLDRIDGE 1988. “A capital asset pricing model with time varying covariances”, Journal of Political Economy, 96, 116-131
2 ریسک بتا: شواهدی از تئوری چشم انداز 9
FAMA, E.F. AND K.R. FRENCH 1992. “The cross-section of expected stock returns”, Journal of Finance, 47(2), 427-465.
Fratzscher, M. 2002. Financial market integration in Europe: on the effects of EMU on stock markets. International Journal of Finance and Economics, 7, 165-193.
French, K., Schwert, W. & Stambaugh, R. 1987. Expected stock returns and volatility. Journal of Financial Economics, 19, 3–29.
Ghysels, E.; Santa-Clara, P., & Valkanov, R. 2005. There is a risk-return tradeoff after all. Journal of Financial Economics, 76, 509–548.
Glosten, L., Jagannathan, R. & Runkle, D. 1993. Relationship between the expected value and the volatility of the nominal excess return on stocks. Journal of Finance, 48, 1779-1802.
Harrison, P., & Zhang, H. 1999. An investigation of the risk and return relation at long horizons. Review of Economics and Statistics, 81, 399–408.
Hens, T., Vlcek, M., 2011. Does prospect theory explain the disposition effect? Journal of Behavioral Finance 12, 141–157.
Kahneman, D. and A. Tversky. 1979. Prospect Theory: An Analysis
of Decision underRisk. Econometrica 47: 263–291.
Lettau, M., & Ludvigson, S. 2002. Measuring and modeling variation in the risk-return tradeoff. In Handbook of Financial Econometrics, Y. Ait-Sahalia and L. Hansen, eds. North-Holland, Amsterdam.
Lettau, M., & Ludvigson, S. 2002. Measuring and modeling variation in the risk-return tradeoff. In Handbook of Financial Econometrics, Y. Ait-Sahalia and L. Hansen, eds. North-Holland, Amsterdam.
Lo, A., & MacKinlay, C. 1990. An econometric analysis of nonsynchronous trading. Journal of Econometrics, 45, 181-211.
Merton, R. 1980. On estimating the expected return on the market: An exploratory investigation. Journal of Financial Economics, 8, 323-361.
Pagan, A. R., & Ullah, A. 1988. The econometric analysis of models with risk terms. Journal of Applied Econometrics, 3, 87-105.
Sentana, E., & Wadhwani, S., 1992. Feedback traders and stock return autocorrelations: Evidence from a century of daily data. Economic Journal, 102, 415-435.
SHARPE, W.F. (1964), “Capital asset prices: a theory of market equilibrium under conditions of risk”, Journal of Finance, 19, 425-442.
TVERSKY, A. AND D. KAHNEMAN (1986), “Rational choice and the framing of decisions”, Journal of Business, 59, 251–278
Tversky, A. and D. Kahneman. 1991. Loss Aversion in Riskless Choice: A Reference-Dependent Model. Quarterly Journal of Economics 106: 1039–1061
)