Investor Sentiment and Financing Decisions in Tehran Stock Exchange

Document Type : Original Article

Authors

1 Assistant Prof, Department of Accountnig, University of Qom, Qom, Iran .

2 MSc in Accountnig, University of Qom, Qom, Iran.

Abstract

Behavioral finance explains contradictory patterns with market efficiency hypotheses with behavioral biases. One of the most common price patterns in the stock market is the pattern of momentum, which can be driven by investors' adjustment and anchoring bias and disposition effect. In this study, the role of adjustment and anchoring bias and disposition effect on the formation of momentum returns on the Tehran Stock Exchange are examined. Using the portfolio study method and the data of the research period of 2007-2016, it was found that investors are more affected by adjustment and anchoring bias compared to disposition effect and form a pattern of momentum by reversing against the maximum price thresholds with a one-year period as the reference price. Also, among the maximum thresholds, investors are most affected by the maximum price of 26 weeks with a six-month waiting period, and further analysis and analysis using the Fama-Macbeth regression and the Fama-French three-factor model confirm these results.

Keywords

References

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Financial Management Perspective
Volume 11, Issue 34
September 2021
Pages 173-193

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