اتکا و تعدیل یا اثر تمایلاتی؛ شواهدی از الگوی تداوم

نوع مقاله : علمی - پژوهشی

نویسندگان

1 دانشیار گروه حسابداری، دانشگاه شهید بهشتی، تهران، ایران.

2 دانشیار گروه مدیریت مالی و بیمه، دانشگاه شهید بهشتی، تهران، ایران.

3 دانشجوی دکتری مدیریت مالی، دانشگاه شهید بهشتی، تهران، ایران.

چکیده

مالی رفتاری الگوهای متناقض با فرضیه کارایی بازار را با سوگیری‌های رفتاری توضیح می‌دهد. از شایع‌ترین الگوهای قیمتی که در بازار سهام تشکیل می‌شود، الگوی تداوم است که می‌تواند به ‌دلیل فروواکنشی سرمایه‌گذاران به قیمت‌های مرجع ناشی از دو­سوگیری اتکا و تعدیل و اثر تمایلاتی ایجاد شود. در این پژوهش نقش دو­سوگیری اتکا و تعدیل و اثر تمایلاتی در شکل‌گیری بازده تداوم در «بورس اوراق بهادار تهران» بررسی می‌شود. با استفاده از روش پژوهش مطالعه پرتفوی و داده‌های دوره پژوهشی 1386-1395، مشخص شد. سرمایه‌گذاران در مقایسه با اثر تمایلاتی، بیشتر متأثر از سوگیری اتکا و تعدیل هستند و با فروواکنشی در مقابل آستانه‌های حداکثری قیمت با بازه یک­ساله به‌عنوان قیمت مرجع، الگوی تداوم را ایجاد می‌کنند؛ همچنین در بین آستانه‌های حداکثری، سرمایه‌گذاران بیشتر متأثر از حداکثر قیمت 26 هفته با دوره انتظار شش­ماهه هستند و تجزیه‌وتحلیل بیشتر با استفاده از رگرسیون فاما-مک‌بث و مدل سه­عاملی فاما-فرنچ این نتایج را تأیید می‌کند.

کلیدواژه‌ها

عنوان مقاله [English]

Adjustment and anchoring bias or disposition effect: Evidence from momentum pattern

نویسندگان [English]

  • Gholamhossein Asadi 1
  • Maryam Davallou 2
  • Sobhan Eskini 3
1 Associate Prof, Department of Accounting, University of Shahid Beheshti, Tehran, Iran.
2 Associate Prof, Department of Financial Management and Insurance, University of Shahid Beheshti, Tehran, Iran.
3 Ph.D. Candidate in Financial Management, University of Shahid Beheshti, Tehran, Iran.
چکیده [English]

     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.

کلیدواژه‌ها [English]

  • Disposition Effect
  • Adjustment and Anchoring
  • Reference Price
  • Momentum

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