European Business & Management

| Peer-Reviewed |

The Effect of Real Investors on the Inefficiency of Stock Returns of Tehran Stock Exchange

Received: 15 May 2020    Accepted: 01 June 2020    Published: 04 July 2020
Views:       Downloads:

Share This Article

Abstract

Fluctuations in stock returns and the factors that affect them are controversial in financial research. Institutional investors, as a group of investors, play an important role in the economic development of the capital market through their access to huge financial resources. But real investors may not be able to achieve the return and profitability due to the scarcity of their financial resources. Accordingly, the study of the role of real investors in the volatility of stock returns is very important. The present study aims to find evidence for the relationship between real investors in open volatility of ten stocks. Few studies of financial market irregularities and the behavior of capital market investors have focused on the results. By challenging the efficient market hypothesis, it is clear that real investors raise the stock price of companies that have been successful over time. The real price and the price of unsuccessful stocks are lower than the real price, but over time the market realizes its mistake and the prices return to equilibrium. Acceptance of stock returns is irregular (Tehran Stock Exchange). In order to achieve the research goal, ten-year information (2009-2019) of 140 companies by judicial sampling method was studied. This research is applied in terms of purpose and testing the hypotheses of logit and cross-sectional regression. Fama and French three-factor model and Carhart's four-factor model were used. The results indicate that the relationship between stock price jump and real investors has been explained and finally practical suggestions have been provided.

DOI 10.11648/j.ebm.20200603.12
Published in European Business & Management (Volume 6, Issue 3, May 2020)
Page(s) 49-60
Creative Commons

This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited.

Copyright

Copyright © The Author(s), 2024. Published by Science Publishing Group

Keywords

Market Anomalies, The Effect of Falling, Mutations, Real Investors

References
[1] Akdeniz, Levent, Aslihan Altay-Salih, and Kursat Aydogan. 2000. The Cross-Section of Expected Stock Returns on the Istanbul Stock Exchange. Russian and East European Finance and Trade 36 (5): 6-26.
[2] Bartha, M. E. (May 2018). Evolution in Value Relevance of Accounting Information. www.hbs.edu/faculty/conferences/2018-imo/Documents/Barth.Li.McClure.May.2018.
[3] Westerlund, J. KumarNarayan, P. 2012. Does the choice of estimator matter when forecasting returns?. Journal of Banking & Finance 36 (9): 2632-2640.
[4] Banz, R. W. 1981. The Relative Efficiency of Various Portfolios: Some Further Evidence: Discussion. J ournal of Finance 32 (663–682).
[5] Tabara, Neculae. Comparative accounting systems, edition of П revised and supllemented. Iasi, 2014, Tipo Moldova Publishing House.
[6] Bhandari, Laxmi Chan. 1988. Debt/Equity ratio and expected common stock returns: Empirical evidence. Journal of Finance (43): 507-528.
[7] Hsiao, C., Shen, Y., & Bian, W. (2015). Evaluating the effectiveness of China’s financial reform-The efficiency of China’s domestic banks. China Economic Review, 35, 70–82. https://doi.org/10.1016/j.chieco.2015.05.006.
[8] Lapteacru, I. (2017). Market power and risk of Central and Eastern European banks: Does more powerful mean safer? Economic Modelling, 63, 46–59.
[9] Conrad, J. K. (2014.). Death and jackpot: why do individual investors hold overpriced stocks?
[10] Edelen, R. I. (2016). Institutional investors and stock return anomalies. Journal of Financial Economics, 119, 472–488.
[11] Davis, James L., Eugene F. Fama, and Kenneth R. French. 2000. Characteristics, Co Variances, and Average Returns: 1929-1997. Journal of Finance (55): 392.
[12] Berger, A. N., Klapper, L. F., & Turk-Ariss, R. (2009). Bank competition and financial stability. Journal of Financial Services Research, 35 (2), 99–118.
[13] Eric Ghysels, P. G. (2014). Regime switches in the risk–return trade-off. Journal of Empirical Finance, 118-138.
[14] Eugene F. Fama a, K. R. (2018). Choosing factors. Journal of Financial Economics, 128 234–252.
[15] Foucault, TH. Sraer. D. and Thesmar. D. J. (2011). "Individual Investors and Volatility", Journal of Finance, LXVI, (4).
[16] Fama, E. F., and K. R. French. 1995. Size and book-to-market factors in earnings and returns. Journal of Finance (50): 131-155.
[17] Garlappi, L. Y. (2011). Financial distress and the cross-section of equity returns. Journal of Finance, 66, 789–822.
[18] Giriffin, John M. 2002. Are the Fama and French Factors Global or Country Specific. The Review of Financial Studies (15): 783-803.
[19] Horowitz, J. L., T. Loughran, and N. E. Savin. 2000. Three analyses of the firm size premium. Journal of Empirical Finance 7 2 (143–153.
[20] Jang, J. a. (2016). Probability of price crashes, rational speculative bubbles, and the crosssection. Working paper, Chosun University and Korea Advanced Institute of Science and Technology.
[21] Jang, J., & Kang, J. (2019). Probability of price crashes, rational speculative bubbles, and the cross-section of stock returns. Journal of Financial Economics, 132 (1), 222-247.
[22] Jianan, L.. (April 2018). Absolving beta of volatility’s effects. Journal of Financial Economics, 128،1،1-15.
[23] Kaniel, R. Saar, G. and. Sh, Titman. (2008)." Individual Investor Trading and Stock Returns", he Journal of Finance, 63, 273-310.
[24] Khani, A, Hoseini, S. A. and A. Khadem. (2012). Tehran Stock Exchange, Individual Investor Trading and Stock Returns in emerging markets: the case of Iran, working paper.
[25] Keppler Michael, Xue Xing. H (2003). The Seasonal Price Behavior of Global Equity Markets. The Journal of Investing, 49-53.
[26] Lucey Brian. M, Whelan Shane (2004). Monthly and Semi-Annual Seasonality in the Irish Equity Market1934-2000. Applied Financial Economics, 14: 203-208.
[27] Houston, J. F., Lin, C., Lin, P., & Ma, Y. (2010). Creditor rights, information sharing, and bank risk-taking. Journal of Financial Economics, 96, 485–512.
[28] Levin, Sheen & Zajac. J, Edward.(2001)." the Social Life of Financial Bubbles, Institutional Theory Conference", working paper, 2-10.
[29] Lewellen, J. (2011). Institutional investors and the limits of arbitrage. Journal of Financial Economics, 102،62–80.
[30] Marcelo, Miralles, and Miralles Quiros. 2006. The role of an illiquidity risk factor in asset pricing: empirical evidence from the Spanish stock market. The Quarterly Review of Economics and Finance (46): 254–267.
[31] Marsall Ben. R, Visaltanachoti Nuttawat (2010). The Other January Effect: Evidence against Market Efficiency? Journal of Banking and Finance.
[32] Michelfelder, R. A. (2005)." Volatility of stock returns: Emerging & Mature Markets", Managerial Finance, 31, 66-68.
[33] Mei-Chen Lin. (2018). The impact of aggregate uncertainty on herding in analysts' stock recommendations. International Review of Financial Analysis, Volume 57, Pages 90-105.
[34] Nagel, S. (2005). Short sales, institutional investors and the cross-section of stock returns. • Pastor, L., and R. Stambaugh. 2003. Liquidity Risk and Expected Stock Returns. Journal of Political Economy (111): 642–685.
[35] Patel Jayen B, Evans Dorla A (2003). Seasonal Stock Return Patterns in the Seven Industrialized Nations. Journal of Applied Business Research, 19 (3): 111-120.
[36] Tan, Y., & Floros, C. (2013). Risk, capital and efficiency in Chinese banking. Journal of International Financial Markets, Institutions and Money, 26, 378–393.
[37] Tan, Y., & Floros, C. (2018). Risk, competition and efficiency in banking: Evidence from China. Global Finance Journal, 35, 223–236.
[38] Goel, S. (2016). The Earnings Management Motivation: Accrual Accounting vs. Cash Accounting, Australasian Accounting, Business and Finance Journal, 10 (3), 2016, 48- 66.
[39] Sharpe, William F. 1964. Capital asset prices: a theory of market equilibrium under conditions of risk. Journal of Finance (19): 425-442.
[40] Stambaugh, R. F. (2015). Arbitrage asymmetry and the idiosyncratic volatility puzzle. Journal of Finance, 70, 1903–1948.
[41] Stambaugh, R. Y. (2012). The short of it: investor sentiment and anomalies. Journal of Financial Economics, 104, 288–302.
[42] Cuzdriorean, D. D. (2013). Most recent findings in earnings management area: Interesting insights from traditionally top 5 leading accounting journals, Annales Universitatis Apulensis Series Oeconomica, 15 (2), 402-416.
[43] Yu, J. Y. (2011). Investor sentiment and the mean–variance relation. Journal of Financial Economics, 100, 367–381.
Author Information
  • Faculty of Management and Accounting, Tehran University, Tehran, Iran

  • Abadan Faculty of Petroleum Engineering, Petroleum University of Technology, Abadan, Iran

Cite This Article
  • APA Style

    Mehran Ansari, Hojat Jafari. (2020). The Effect of Real Investors on the Inefficiency of Stock Returns of Tehran Stock Exchange. European Business & Management, 6(3), 49-60. https://doi.org/10.11648/j.ebm.20200603.12

    Copy | Download

    ACS Style

    Mehran Ansari; Hojat Jafari. The Effect of Real Investors on the Inefficiency of Stock Returns of Tehran Stock Exchange. Eur. Bus. Manag. 2020, 6(3), 49-60. doi: 10.11648/j.ebm.20200603.12

    Copy | Download

    AMA Style

    Mehran Ansari, Hojat Jafari. The Effect of Real Investors on the Inefficiency of Stock Returns of Tehran Stock Exchange. Eur Bus Manag. 2020;6(3):49-60. doi: 10.11648/j.ebm.20200603.12

    Copy | Download

  • @article{10.11648/j.ebm.20200603.12,
      author = {Mehran Ansari and Hojat Jafari},
      title = {The Effect of Real Investors on the Inefficiency of Stock Returns of Tehran Stock Exchange},
      journal = {European Business & Management},
      volume = {6},
      number = {3},
      pages = {49-60},
      doi = {10.11648/j.ebm.20200603.12},
      url = {https://doi.org/10.11648/j.ebm.20200603.12},
      eprint = {https://download.sciencepg.com/pdf/10.11648.j.ebm.20200603.12},
      abstract = {Fluctuations in stock returns and the factors that affect them are controversial in financial research. Institutional investors, as a group of investors, play an important role in the economic development of the capital market through their access to huge financial resources. But real investors may not be able to achieve the return and profitability due to the scarcity of their financial resources. Accordingly, the study of the role of real investors in the volatility of stock returns is very important. The present study aims to find evidence for the relationship between real investors in open volatility of ten stocks. Few studies of financial market irregularities and the behavior of capital market investors have focused on the results. By challenging the efficient market hypothesis, it is clear that real investors raise the stock price of companies that have been successful over time. The real price and the price of unsuccessful stocks are lower than the real price, but over time the market realizes its mistake and the prices return to equilibrium. Acceptance of stock returns is irregular (Tehran Stock Exchange). In order to achieve the research goal, ten-year information (2009-2019) of 140 companies by judicial sampling method was studied. This research is applied in terms of purpose and testing the hypotheses of logit and cross-sectional regression. Fama and French three-factor model and Carhart's four-factor model were used. The results indicate that the relationship between stock price jump and real investors has been explained and finally practical suggestions have been provided.},
     year = {2020}
    }
    

    Copy | Download

  • TY  - JOUR
    T1  - The Effect of Real Investors on the Inefficiency of Stock Returns of Tehran Stock Exchange
    AU  - Mehran Ansari
    AU  - Hojat Jafari
    Y1  - 2020/07/04
    PY  - 2020
    N1  - https://doi.org/10.11648/j.ebm.20200603.12
    DO  - 10.11648/j.ebm.20200603.12
    T2  - European Business & Management
    JF  - European Business & Management
    JO  - European Business & Management
    SP  - 49
    EP  - 60
    PB  - Science Publishing Group
    SN  - 2575-5811
    UR  - https://doi.org/10.11648/j.ebm.20200603.12
    AB  - Fluctuations in stock returns and the factors that affect them are controversial in financial research. Institutional investors, as a group of investors, play an important role in the economic development of the capital market through their access to huge financial resources. But real investors may not be able to achieve the return and profitability due to the scarcity of their financial resources. Accordingly, the study of the role of real investors in the volatility of stock returns is very important. The present study aims to find evidence for the relationship between real investors in open volatility of ten stocks. Few studies of financial market irregularities and the behavior of capital market investors have focused on the results. By challenging the efficient market hypothesis, it is clear that real investors raise the stock price of companies that have been successful over time. The real price and the price of unsuccessful stocks are lower than the real price, but over time the market realizes its mistake and the prices return to equilibrium. Acceptance of stock returns is irregular (Tehran Stock Exchange). In order to achieve the research goal, ten-year information (2009-2019) of 140 companies by judicial sampling method was studied. This research is applied in terms of purpose and testing the hypotheses of logit and cross-sectional regression. Fama and French three-factor model and Carhart's four-factor model were used. The results indicate that the relationship between stock price jump and real investors has been explained and finally practical suggestions have been provided.
    VL  - 6
    IS  - 3
    ER  - 

    Copy | Download

  • Sections