THE EVALUATION INVESTOR'S UNDERREACTION IN THE TEHRAN STOCK EXCHANGE (TSE)

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MEHRANI SASAN; NOUNAHALNAHR A.A.

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Journal: THE IRANIAN ACCOUNTING AND AUDITING REVIEW Year:2009 | Volume:15 | Issue:54 Page(s): 117-136

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Information Journal Paper

Title

THE EVALUATION INVESTOR'S UNDERREACTION IN THE TEHRAN STOCK EXCHANGE (TSE)

Author(s)

MEHRANI SASAN | NOUNAHALNAHR A.A. | Issue Writer Certificate

Keywords

EMHQ3

UNDER REACTIONQ3

RETURN CONTINUATIONQ3

POST EARNINGS ANNOUNCEMENT DRIFTQ3

INITIAL OVERREACTIONQ3

Abstract

The findings of various Researches have challenged the validity of EMH in the last two decades. One of these challenges is misreaction of investors to new information that leads securities prices don't reflex the real value of securities. This Research has investigated the UNDER REACTION hypothesis of Jegadeesh & Titman [19] In TSE, through short term Returns of stocks from 1998to 2005. In this article 6 hypothesis were analyzed. Statistical methods of T-test and Pearson's correlation were used to analyze the hypothesis. Results of this Research, Contrary to Many Foreign Researches do not Represent the UNDER REACTION of investors in 6 month periods; therefore can't earning excess Returns through the use of Relative Strength (Momentum) strategy in TSE.

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APA: Copy

MEHRANI, SASAN, & NOUNAHALNAHR, A.A.. (2009). THE EVALUATION INVESTOR'S UNDERREACTION IN THE TEHRAN STOCK EXCHANGE (TSE). THE IRANIAN ACCOUNTING AND AUDITING REVIEW, 15(54), 117-136. SID. https://sid.ir/paper/8184/en

Vancouver: Copy

MEHRANI SASAN, NOUNAHALNAHR A.A.. THE EVALUATION INVESTOR'S UNDERREACTION IN THE TEHRAN STOCK EXCHANGE (TSE). THE IRANIAN ACCOUNTING AND AUDITING REVIEW[Internet]. 2009;15(54):117-136. Available from: https://sid.ir/paper/8184/en

IEEE: Copy

SASAN MEHRANI, and A.A. NOUNAHALNAHR, “THE EVALUATION INVESTOR'S UNDERREACTION IN THE TEHRAN STOCK EXCHANGE (TSE),” THE IRANIAN ACCOUNTING AND AUDITING REVIEW, vol. 15, no. 54, pp. 117–136, 2009, [Online]. Available: https://sid.ir/paper/8184/en

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