Document Type : Research Paper
Authors
Associate Prof., ShahidBehesheti University
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 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.
Keywords
- ﺭﺣﯿﻤﯽ،ﻋﻠـﯽ (1374). "ﺑﺮﺭﺳـﯽﺭﺍﺑﻄـﻪﺑـﯿﻦﺑـﺎﺯﺩﻩﺳـﻬﺎﻡوﺿـﺮﯾﺐP/Eشرکت‌هایپذیرفته‌شدهﺩﺭﺑﻮﺭﺱﺍوﺭﺍﻕﺑﻬﺎﺩﺍﺭﺗﻬﺮﺍﻥ"،پایان‌نامهﮐﺎﺭﺷﻨﺎﺳـﯽﺍﺭﺷـﺪﺣـﺴﺎﺑﺪﺍﺭی،ﺩﺍﻧﺸﮕﺎﻩﺷﻬﯿﺪﺑﻬﺸﺘﯽ.
- ثقفی،علیومحمدجوادسلیمی(1384)، متغیرهایبنیادیحسابداریوبازدهسهام، مجلهعلوماجتماعیوانسانیدانشگاهشیراز،دورهبیستودوم،شمارهدوم
- پور حیدری امید، عطارد حسن(1387)، بررسی تحلیل‌های بنیادی در بورس اوراق بهادار تهران، پژوهشنامه اقتصادی،دوره 8، شماره 2 (ویژه‌نامه بازار سرمایه)):15-39
- Aksu,H. (2003). “The effect of size, book-to-market ratio and priordistress information on the market reaction to troubled debt restructuring announcements,” Graduate School of Business, Koc University
- Bartholdy. J (1998). "Changes in earnings – price ratios and excess returns", International Review of Financial Analysis.
- Barberis, N., Shleifer, A., Vishny, R., 1998, A model of investor sentiment, Journal of Financial Economics 49, 307-343
- Chan, Frankel, et al. – 2004, Testing behavioral finance theories using trends and sequences in financial performance , Journal of Accounting and Economics
- Daniel, K., Titman, S., 2001, Market reactions to tangible and intangible information, Northwestern University Working paper
- Firth, M., (1998), "IPO profit forecasts and their role in signaling firm value and explaining post-listing returns". Applied financial Economics, pp. 29-39.
- Jagadeesh, N., Titman, S., 1993, Returns to buying winners and selling losers: Implications for stock market efficiency, Journal of Finance 48, 65-91.
- Kr¨uger,P, Landier., A., andThesmar,D.,2012, Categorization Bias in the Stock Market,Catolica Lisbon, school of business and economics
- Lakonishok, J., Shleifer, A., Vishny, R., 1994, Contrarian investment, extrapolation, and risk, Journal of Finance 49, 1541-1578.
- Maramor, Pahor (2001) . "liner versus non-linear relationships between financial ratios and stock returns", Review of Accounting and Finance.
- Shleifer, A.,2000, Inefficient markets: An introduction to behavioral finance, Oxford University Press, Oxford, United Kingdom.
- Sirri E., Tufano P., 1998, Costly search and mutual fund flows, Journal of Finance 53, 1589-1622.
Tversky, A., Kahneman, D., 1974, Judgement under uncertainty: Heuristics and biases, Science 185, 1124
)