Is the ۵۲-high-price Strategy Explained by Behavioral Finance? (Uncertainty Effect)
Publish Year: 1396
نوع سند: مقاله ژورنالی
زبان: English
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شناسه ملی سند علمی:
JR_IJFMA-2-6_002
تاریخ نمایه سازی: 13 آذر 1400
Abstract:
The aim of this study is to investigate a behavioral approach by anchoring bias as a criterion to explain ۵۲-week-high strategy and trough this we can find an explain for momentum strategy at uncertainty situation, to the companies listed on the Tehran Stock Exchange. The information uncertainty criteria include the book value to market value (BV / MV), company age (Age), the size of the entity (MV), lowest price to the highest price of the stock ratio (LHR), the standard deviation of stock returns (STD) and the standard deviation of operating cash flow (CFVOLA). To investigate this issue four-hypotheses developed for this purpose and data of ۹۹ companies of Tehran Stock Exchange was analyzed for the period ۲۰۰۷ to ۲۰۱۵.the research method performed by panel data analyzed, Results show that for all the variables except for STD (standard deviation of stock returns), by increasing the degree of information uncertainty, stock returns trend increases(decreases) for winning(loser) portfolios.
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Authors
Mohammad Hesam Jahanmiri
PhD Candidate Faculty of Management and Economy, Science and Research Branch, Islamic Azad University, Tehran, Iran (corresponding author)
Fraydoon Rahnama Roodposhti
Professor and Faculty Member Department of Accounting, Faculty of Management and Economy, Science and Research Branch, Islamic Azad University,Tehran, Iran
Hashem Nikoomaram
Professor and Faculty Member Department of Accounting, Faculty of Management and Economy, Science and Research Branch, Islamic Azad University,Tehran, Iran
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