Behavioral Bias, Abnormal Volume, and Abnormal Return

This research evaluates the effects of overconfidence, disposition effect and investors’ attention on the abnormal volume and abnormal returns of stocks through Interruption in independent variables.

It uses the unbalanced panel data regression technique to study a sample of 325 listed firms in Tehran Stock Exchange at weekly intervals between 2011 and 2016.

The results show that disposition effect and investors’ attention cause abnormal volume. In addition, with regards to abnormal return, the effect of investors' attention on abnormal return is significant in the regression model. The important point in this study is the investigation of the effect of behavioral biases on abnormal volume while generating abnormal returns. The results indicate that only investors’ attention causes both abnormal volume and abnormal returns. Also, in the case of overconfidence, the relationship between this bias and abnormal volume and abnormal returns is not significant.