نشریه چشم انداز مدیریت مالی
پیاپی 25 (بهار 1398)

Research on the relationship existing between Investors’ sentiments and stock pricing and price crash risk is of scholars’ concerns,especially in behavioral economics and finance. The purpose of this paper is to analyze the effect of investors’ sentiments over stock price crash risk among Tehran Stock Exchange (TSE)’s listed companies during 2010 to 2016. To review the research hypothesis, pooled/panel model regression analysis was applied. The findings indicate that there is a direct relationship between investors’ sentiments (based on Arms index) and different criteria of stock price crash risk. In other words, as Arms index, an indicator of investors’ sentiments rises.

Markov chains as a special kind of random processes such that the future status of process is dependent on current status, has many applications in industry, biology, finance, etc. The Markov Chain Analysis framework provides answers to questions that may not be appropriate in other analytical frameworks such as fundamental, technical, and time series. This study with two different methods show that two week rate of return (fourteen days) of Tehran Stock Exchange Index is a markov chain in a state space consists of six status and defined on the basis of return and risk. The average time to transfer between the state space is also between 4 to 13 days, and also the maximum amount of probability (which represents the long-term behavior of the process) relates to a situation in which the return is greater than average.

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.

The return volatility in financial markets depends heavily on the nature, behavior and desires of the trader. The aim of this study is to determine the appropriate trading strategy in Iran stock market based on the behavior of noise traders. In order to achieve this research aims, related data to total index and 96 selected companies has been used. The results of daily fluctuation analysis of the total index by using the Chow-analysis multiple variance test (CD) during the five-year period from 2011 to 2016 showed that the common culture of traders on Iranian stock market is noise trading. Statistically significant Behavioral Error (BE) of Iranian stock market traders point out that this market faces the noise trader risk (NTR). So the results of the survey of the effect of noise trader risk (NTR) lagging value on the stocks retune of the selected companies by using a two-variable regression model indicate that: firstly, noise traders have a significant effect on stock returns in this market, and secondly, the systematic noise effect (SNE) overcomes cash noise effect (CNE), That means that noise traders by adopting a noisy strategy and expanding their risk exposure on market can earn more than information traders with reverse strategy. The results of this research can help investors to adopt a suitable trading strategy and competent authorities to apply mechanisms to reduce noisy transactions.

The aim of this study is to investigate the behavior of individual investors from the perspective of behavioral errors and relationship between them in Tehran Stock Exchange. For this purpose, we examined the portfolio statement of individual and institutional investors during a five-year period from 2012 to 2016. The result show that individual investors make poor trading decisions: stocks they purchase underperform those they sell. On the other hand, both individual investors tend to sell stocks that have appreciated in price, but not those that have depreciated in price (consistent with a disposition effect). Finally, they appear to believe that past returns are indicative of future returns (a representativeness bias). In the following, the analysis of multiple cognitive errors is done to determine whether investors with a cognitive error are prone to other cognitive errors. The results indicate that the behavior of some investors represents more than one cognitive error.

This study empirically has examined the effect of volatility in exchange rates on the levels of skewness and kurtosis of stock portfolio returns. The statistical population of research consists all of companies listed in Tehran stock exchange market during 2010 to 2017 that a number of 114 companies were considered as statistical sample of research. The research method is Correlation type and the method of gathering information in literature is based on library research and in the part of hypothesis testing is based on documentation of financial reports. Generally the statistical method had been used in this research is based on combinational data regression method. Results showed that exchange rate volatilities have negative and significant effect on the skewness and kurtosis of stock returns. Also the effect of these volatilities on the systematic skewness and kurtosis of were investigated and the results showed that the exchange rate volatilities have significant and direct effect on the systematic kurtosis of returns, but its effect on the systematic skewness of returns was not confirmed.

In this study, performance of four portfolio insurance strategies based on Stop-loss Portfolio(SL), Synthetic Put Portfolio Option(SPP), Constant Proportion Portfolio(CPPI) and Dynamic Value at Risk(D-VaR) were compared and based on the Omega performance criterion with threshold values of 1 to 4 percent and also empirical Value at Risk were evaluated. According to daily data of Tehran Stock Exchange index for 10 years, the sample includes 2467 observations from the first of April 2009 to the end of March 2019. Using the software R version 3.4.4, comparison of portfolio insurance strategies based on bootstrap block simulation were compared. The results showed that SPP and CPPI strategies with higher omega criteria had better performance than SL's strategy and also, the D-VaR strategy at level of 90% based on estimated the average and volatility from the parametric model after the Bootstrap simulation process and according to the omega performance criterion and empirical value at risk has more effective than other strategies in hedging portfolio toward the other strategies.