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
  1. Atanasov, V., & Nitschka, T. (2014). The Size Effect in Value and Momentum Factors: Implications for the Cross-Section of International Stock Returns. Tinbergen Institute Discussion Paper 13-180/IV/DSF66
  2. Baker, M., Pan, X., & Wurgler, J. (2012). The effect of reference point prices on mergers and acquisitions. Journal of Financial Economics, 106(1), 49–71.
  3. Barroso, P & Santa-Clara, P. (2015). Momentum has its moments. Journal of Financial Economics, 116(1), 111-120.
  4. Baucells, M., Weber, M., & Welfens., F. (2011). Reference-Point Formation and Updating. Management Science, 57(3), 506–519.
  5. Bhootra, A., & Hur, J. (2013). The timing of 52-week high price and momentum. Journal of Banking & Finance, 37, 3773-3782.
  6. Chen, A. & Yang, W. (2016). Echo effects and the returns from 52-week high strategies. Finance Research Letters, 16, 38-46.
  7. Chordia, T., & Shivakumar, L. (2002). Momentum, Business Cycle, and Time-varying Expected Returns . The Journal of Finance, 57(2), 985–1019.
  8. Coakley, J., Gazzaz, H., & Hardy, T. (2017). The impact of mispricing and growth on UK M&As. The European Journal of Finance, 23(13), 1219-1237.
  9. Davallou, M. & Javadian, J. (2017). The timing of 52-week high price momentum: evidence from Tehran Stock Exchange. Financial Knowledge of Securities Analysis, 35(10), 63-77. (In Persian)
  10. De‌Bondt, W. F., & Thaler, R. (1985). Does the stock market overreact? The Journal of finance, 40(3), 793-805.
  11. Leite, A., Klotzle, M., Pinto, A., & Silva, A. (2018). Size, value, profitability, and investment: Evidence from emerging markets.
  12. Fama, E. & MacBeth, D. (1973). Risk, Return, and Equilibrium: Empirical Tests. Journal of Political Economy, 81(3), 607–636.
  13. Fama, E. F (1995)” Random Walks in Stock Market Prices”, Financial Analysts Journal, 21, 5, PP:55-59.
  14. Fama, E. F., & French. K. R. (1996). Multifactor Explanations of Asset Pricing Anomalies. Journal of Finance, 51, 55–84.
  15. Fama, E. & French, K. (2012). Size, value, and momentum in international stock returns. Journal of Financial Economics, 105, 457–472.
  16. Fallahpour, S., Sadi, R. & Aboutorabi, G. (2013). The relationship between daily return of individual stocks and the highest price in last 52 weeks in Tehran Stock Exchange. Quarterly Journal of Securities Exchange. 22(6), 73-101. (In Persian)
  17. Frazzini, A. (2006).The Disposition Effect and Underreaction to News. The Journal of Finance, 61(4), 2017-2046.
  18. George, T. J., & Hwang, C. Y. (2004). The 52-week high and momentum investing. Journal of Finance, 59(5), 2145-2176.
  19. Grinblatt, M. & Han, B. (2005). Prospect theory, mental accounting, and momentum. Journal of Financial Economics, 78, 311–339.
  20. Goyal, A. & Wahal, S. (2015). Is Momentum an Echo? Journal of Financial and QuntitativeAnalysis, 50(6), 1237–1267
  21. Hao, Y., Hsiang-Hui. D., Keng-Yu. D. & Kuan-Cheng, D. (2016). The 52-week high and momentum in the Taiwan stock market: Anchoring or recency biases?” International Review of Economics and Finance, 43, 121–138.
  22. Hao, Y., Chou, R., Ko, K., & Yang, N. (2018). The 52-week high, momentum, and investor sentiment, International Review of Financial Analysis, 57, 167-183.
  23. Hirshleifer, D. (2001). Investor psychology and asset pricing. Journal of Finance, 56, 1533-1597.
  24. Hong, X. Jordan, B & Liu, M. (2015). Industry information and the 52-week high effect. Pacific-Basin Finance Journal, 32(C), 111-130.
  25. Hur, J., Pritamani, M. & Sharma, V. (2010). Momentum and the Disposition Effect: The Role of Individual Investors. Financial Management, 39(3), 1155-1176
  26. Jegadeesh, N. & Titman, S. (1993). Returns to buying winners and selling losers: Implications for stock market efficiency. Journal of Finance, 48, 65-91.
  27. Jegadeesh, N., & Titman, S. (2001). Profitability of Momentum Strategies: An Evaluation of Alternative Explanations. The Journal of Finance, 56(2), 699–720.
  28. Kahneman, D. (2011). Thinking, Fast and Slow. 1th Edition. Farrar, Straus and Giroux. New York.
  29. Kahneman, D. & Tversky, A. (1979). Prospect theory: an analysis of decision under risk. Econometrica, 47, 263–292.
  30. Kahneman, D. (1992). Reference points, anchors, norms, and mixed feelings. Organizational Behavior and Human Decision Processes 51(2), 296–312.
  31. Kliger, D. & Kudryavtsev, A. (2008). Reference point formation by market investors. Journal of Banking and Finance, 32(9), 1782–1794.
  32. Li, J., & Yu, J. (2012). Investor attention, psychological anchors, and stock return predictability. Journal of Financial Economics, 104(2), 401–419.
  33. Liu, M. , Liu, Q., & Ma, T. (2011). The 52-week high momentum strategy in international stock markets. Journal of International Money and Finance, 30, 180-204.
  34. Newbold, P., Carlson, W., & Thorne, B. (2013). Statistics for Business and Economics. 8th Edition, Pearson Education. London.
  35. Newey, W, & West, W. (1987). A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix. Econometrica, 55(3), 703-708.
  36. Novy-Marx, R. (2012). Is momentum really momentum? Journal of Financial Economics, 103, 429-453.
  37. O'Brien, J. & Best, P. (2017). Momentum, the Disposition Effect and Beta. Available at SSRN: https://ssrn.com/abstract=3124857
  38. Pravittanon, P. (2012). 52-week high momentum investing strategy: evidence on SET. Thammasat University, Available on: Thammasat University Digital Collections.
  39. Raghubir, P. & Das, S. (2010). The Long and Short of It: Why Are Stocks with Shorter Runs Preferred? Journal of Consumer Research, 36(6), 964-982.
  40. Ranganathan. K. & Singh, P. (2015). The 52 Week High Reference Price Effect on Indian Mergers and Acquisitions: Does the Regulatory Environment Matter. Available on: National Institute of Industrial Engineering (NITIE)
  41. Sakr, A. Ragheb, M. Ragab, A. & Rabab, K. (2014). Return Anomalies “Disposition Effect and Momentum”: Evidence from the Egyptian Stock Market. International Journal of Economics and Finance, 6(2), 181-196
  42. Shefrin, H.M. & Statman, M. (1985). The disposition to sell winners too early and ride losers too long: theory and evidence. The Journal of Finance 40(3), 777–790.
  43. Sinha, R. (2016). Underreaction to News in the US Stock Market. Quarterly Journal of Finance, 6(2), 1-46.
  44. Thaler, R. H. (1985). Mental accounting and consumer choice. Marketing Science, 4(3), 199-214.
  45. Thaler, R. H., & Johnson, E. J. (1990). Gambling with the house money and trying to break even: The Effect of Prior Outcomes Risky Choice. Management Science, 36(6), 643-660.
  46. Wang. H, Yan. J & Yu. J (2017). Reference-dependent preferences and the risk–return trade-off. Journal of Financial Economics, 123(2), 395-414