MISEVALUATION AND BEHAVIORAL BIASES IN THE TEHRAN STOCK EXCHANGE

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TAVOSI JAMAL; KESHTEGAR ABDOLALI; KAMALIAN AMIN REZA

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Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2018 | Volume:9 | Issue:36 Page(s): 273-293

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Title

MISEVALUATION AND BEHAVIORAL BIASES IN THE TEHRAN STOCK EXCHANGE

Author(s)

TAVOSI JAMAL | KESHTEGAR ABDOLALI | KAMALIAN AMIN REZA | Issue Writer Certificate

Keywords

STOCK VALUATIONQ1

EVENT STUDYQ1

PARTICULAR SWARM OPTIMIZATIONQ1

BEHAVIORAL BIASES REFERENCESQ2

Abstract

According to efficiency market hypothesis security prices respond quickly to new information and accurately reflect their fundamental values. More recent work indicates that market frictions and the psychological limitations of traders can cause asset prices to deviate from their fundamental values for a considerable length of time. To investigate theoretical concepts, the composite error model and EVENT STUDY approach and for specification model PARTICULAR SWARM OPTIMIZATION were used in this study. The results from Coelli one-sided likelihood ratio test in the event period shows that there are the biases in IKCO’s returns. This study develops an empirical method that tests for and estimates the degree of valuation bias. Being better able to detect valuation bias reveals profit opportunities and may improve the efficiency of financial markets if it sufficiently changes trader behavior.

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APA: Copy

TAVOSI, JAMAL, KESHTEGAR, ABDOLALI, & KAMALIAN, AMIN REZA. (2018). MISEVALUATION AND BEHAVIORAL BIASES IN THE TEHRAN STOCK EXCHANGE. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 9(36 ), 273-293. SID. https://sid.ir/paper/197530/en

Vancouver: Copy

TAVOSI JAMAL, KESHTEGAR ABDOLALI, KAMALIAN AMIN REZA. MISEVALUATION AND BEHAVIORAL BIASES IN THE TEHRAN STOCK EXCHANGE. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2018;9(36 ):273-293. Available from: https://sid.ir/paper/197530/en

IEEE: Copy

JAMAL TAVOSI, ABDOLALI KESHTEGAR, and AMIN REZA KAMALIAN, “MISEVALUATION AND BEHAVIORAL BIASES IN THE TEHRAN STOCK EXCHANGE,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 9, no. 36 , pp. 273–293, 2018, [Online]. Available: https://sid.ir/paper/197530/en

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