Pricing Continuous Overreaction: Evidences from Tehran Security Exchange
Investors' overreaction is one of the most important behavioral biases which might affect stocks returns so they can be priced. Furthermore, investors' overreaction increases trading volume, therefore it can be captured by using a measure based on trading volume and return sign. In this pa...
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| Format: | Article |
| Language: | fas |
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Alzahra University
2022-03-01
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| Series: | راهبرد مدیریت مالی |
| Subjects: | |
| Online Access: | https://jfm.alzahra.ac.ir/article_6251_5f5c9643c33a9758bbaa1d6537834a42.pdf |
| _version_ | 1811243366178881536 |
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| author | Maryam Davallou Ahmad Khalaj |
| author_facet | Maryam Davallou Ahmad Khalaj |
| author_sort | Maryam Davallou |
| collection | DOAJ |
| description | Investors' overreaction is one of the most important behavioral biases which might affect stocks returns so they can be priced. Furthermore, investors' overreaction increases trading volume, therefore it can be captured by using a measure based on trading volume and return sign. In this paper, we use a measure of signed volume (Continuous Overreaction) for calculating investors' overreaction and its relation with stock return in Tehran Stock Exchange using Fama-Mcbeth's (1973) regression. Also, we survey the return statistical significance of a trading strategy based on continuous overreaction measures. For doing so, we study companies listed on TSE between 2009 to 2018. This period contains 102 months and, on average, 241 companies were studied. Our results show that investors' overreaction affects stock return in Tehran Stock Exchange. Also, the return of the trading strategy based on investors' overreaction is statistically significant for 12 months portfolio formation period and 6, 9, and 12 months holding periods |
| first_indexed | 2024-04-12T14:06:11Z |
| format | Article |
| id | doaj.art-3201335fcc99477f95a3e84042efe31b |
| institution | Directory Open Access Journal |
| issn | 2345-3214 2538-1962 |
| language | fas |
| last_indexed | 2024-04-12T14:06:11Z |
| publishDate | 2022-03-01 |
| publisher | Alzahra University |
| record_format | Article |
| series | راهبرد مدیریت مالی |
| spelling | doaj.art-3201335fcc99477f95a3e84042efe31b2022-12-22T03:30:03ZfasAlzahra Universityراهبرد مدیریت مالی2345-32142538-19622022-03-01101315210.22051/jfm.2020.25743.20806251Pricing Continuous Overreaction: Evidences from Tehran Security ExchangeMaryam Davallou0Ahmad Khalaj1Associate Professor, finance and accounting board, faculty of management and accounting, Shahid Beheshti UniversityMaster of Financial Management-Department of Financial Management and Insurance-Shahid Beheshti UniversityInvestors' overreaction is one of the most important behavioral biases which might affect stocks returns so they can be priced. Furthermore, investors' overreaction increases trading volume, therefore it can be captured by using a measure based on trading volume and return sign. In this paper, we use a measure of signed volume (Continuous Overreaction) for calculating investors' overreaction and its relation with stock return in Tehran Stock Exchange using Fama-Mcbeth's (1973) regression. Also, we survey the return statistical significance of a trading strategy based on continuous overreaction measures. For doing so, we study companies listed on TSE between 2009 to 2018. This period contains 102 months and, on average, 241 companies were studied. Our results show that investors' overreaction affects stock return in Tehran Stock Exchange. Also, the return of the trading strategy based on investors' overreaction is statistically significant for 12 months portfolio formation period and 6, 9, and 12 months holding periodshttps://jfm.alzahra.ac.ir/article_6251_5f5c9643c33a9758bbaa1d6537834a42.pdfinvestors overreactioncontinuous overreaction measuretrading strategy based on investors overreaction |
| spellingShingle | Maryam Davallou Ahmad Khalaj Pricing Continuous Overreaction: Evidences from Tehran Security Exchange راهبرد مدیریت مالی investors overreaction continuous overreaction measure trading strategy based on investors overreaction |
| title | Pricing Continuous Overreaction: Evidences from Tehran Security Exchange |
| title_full | Pricing Continuous Overreaction: Evidences from Tehran Security Exchange |
| title_fullStr | Pricing Continuous Overreaction: Evidences from Tehran Security Exchange |
| title_full_unstemmed | Pricing Continuous Overreaction: Evidences from Tehran Security Exchange |
| title_short | Pricing Continuous Overreaction: Evidences from Tehran Security Exchange |
| title_sort | pricing continuous overreaction evidences from tehran security exchange |
| topic | investors overreaction continuous overreaction measure trading strategy based on investors overreaction |
| url | https://jfm.alzahra.ac.ir/article_6251_5f5c9643c33a9758bbaa1d6537834a42.pdf |
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