Behavioral Finance Models and Behavioral Biases in Stock Price Forecasting
Journal Title: Advances in Mathematical Finance and Applications - Year 2018, Vol 3, Issue 4
Abstract
Stock market is affected by news and information. If the stock market is not efficient, the reaction of stock price to news and information will place the stock market in overreaction and under-reaction states. Many models have been already presented by using different tools and techniques to forecast the stock market behavior. In this study, the reaction of stock price in the stock market was modeled by the behavioral finance approach. The population of this study included the companies listed on the Tehran Stock Exchange. In order to forecast the stock price, the final price data of the end December, March, June, and September 2006-2015 and the stock prices of 2014 and 2015 were analyzed as the sample. In this study, Bayes' rule was used to estimate the probability of the model change. Through this rule, the probability of an event can be calculated by conditioning the occurrence or lack of occurrence of another event. The results of model estimation showed that there is the probability of being placed in high-fluctuated regimes (overreaction) and low- fluctuated (under-reaction of stock price despite the shocks entered to the stock market. In modelling with the 4-month final prices, it was proved that the real stock price had no difference from the market price.
Authors and Affiliations
Nader Rezaei, Zahra Elmi
Keywords
Related Articles
- EP ID EP461065
- DOI 10.22034/AMFA.2019.576127.1118
- Views 58
- Downloads 0
Effect of Profitability Indices on the Capital Structure of Listed Companies in Tehran Stock Exchange
The main objective of this research is the index of profitability on the capital structure of listed companies on the Stock Exchange of Tehran. Statistical population consisted of all above companies that 138 companies w...
Comparative Approach to the Backward Elimination and for-ward Selection Methods in Modeling the Systematic Risk Based on the ARFIMA-FIGARCH Model
The present study aims to model systematic risk using financial and accounting variables. Accordingly, the data for 174 companies in Tehran Stock Exchange are extracted for the period of 2006 to 2016. First, the systemat...
An Investigation of Financing Costs Factors on the Auditor's Qualified Report in the Companies Listed in Tehran Stock Exchange
The purpose of this study was to an investigation of financing costs factors on the auditor's qualified report in companies listed in Tehran stock exchange. The criteria considered in this study were the audit firm size,...
Investigating the Effect of Financial Constraints and Different Levels of Agency Cost on Investment Efficiency
This research attempts to investigate the effect of financial constraints and different levels of agency costs on the investment efficiency of companies in Iran. Following the design of the financial risk assessment inde...
Designing Native Decision-Making Model for Selecting Venture Capital Investment in Emerging Companies
Venture capital companies play an important role in the economy of countries and greatly influences economic and employment growth. VC is the provision of capital for companies and entrepreneurs that is prone to leaping...