بررسی بیش واکنشی سهامداران و مقایسة آن در شرکت‌های کوچک و بزرگ در بورس اوراق بهادار تهران

نوع مقاله : علمی - پژوهشی

نویسندگان

1 استادیار گروه مدیریت بازرگانی، دانشگاه سمنان، سمنان، ایران

2 کارشناسی ارشد مدیریت بازرگانی، دانشگاه سمنان، سمنان، ایران.

چکیده

بیش واکنشی یکی از ناهنجاری­های قابل‌مشاهده در بازار می­باشد که پیامدهای مخربی من‌جمله عدم کارایی بازار را به دنبال دارد. در این تحقیق به بررسی وجود بیش واکنشی سهامداران و مقایسه آن در شرکت‌های کوچک و بزرگ در بورس اوراق بهادار تهران و ارزیابی عملکرد استراتژی سرمایه­گذاری معکوس در شرکت‌های کوچک و  بزرگ به‌منظور کسب بازده غیرعادی پرداخته‌شده است. دورة زمانی موردمطالعه از سال 1382 تا 1396 می­باشد. برای بررسی پدیدة بیش واکنشی، از روش اثر بازنده- برنده دی بونت و تالر استفاده شد. نتایج تحقیق نشان داد که بیش واکنشی در میان سهامداران بورس اوراق بهادار تهران وجود دارد و همچنین بیش واکنشی در میان سهامداران شرکت‌های بزرگ مشاهده‌شده است و در شرکت‌های کوچک بیش واکنشی در میان سهامداران مشاهده نشده است. درنهایت با توجه به وجود بیش واکنشی در بازار، سرمایه­گذاران می­توانند با به­کارگیری استراتژی سرمایه­گذاری معکوس به بازده اضافی دست یابند. 

کلیدواژه‌ها

عنوان مقاله [English]

Evaluation of Shareholders’ Overreaction and its Comparison in Small and Large Companies (Case Study: Accepted Companies in Tehran Stock Exchange)

نویسندگان [English]

  • Gholamhossein Golarzi 1
  • Kimiya Danayi 2
1 Assistant Prof. Faculty of Economic and Management, Semnan University, Semnan, Iran,
2 MSc in in Business Management, Semnan University, Semnan, Iran.
چکیده [English]

Overreaction is one of the anomalies in stock market that has a destructive effect on market efficiency. The purpose of this article is to assess the overreaction of shareholders and comparison this phenomenon in small and large companies in Tehran stock exchange. Also, in this research we evaluate the performance of contrarian investment strategy to achieve abnormal returns. The study period was from 1382 to 1396. We used the De Bondt-Thaler winner–loser effect method to assessing the overreaction phenomena. The results showed that an overreaction exists among the shareholders of Tehran stock exchange. Also, the overreaction has been observed among the shareholders of large companies; but it hasn’t been observed among the shareholders of small companies. Generally, investors and portfolio managers can take advantage of market inefficiencies and to achieve abnormal returns by following a contrarian strategy in Tehran stock exchange.

کلیدواژه‌ها [English]

  • Contrarian investment strategy- Cumulative abnormal return
  • Loser portfolio –Overreaction
  • Winner portfolio

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