Test for the Existence of Overreaction Error in the Iranian Capital Market

Document Type : Original Article

Authors

1 Financial Engineering Department. Yazd Unit. Islamic Azad University. Yazd. Iran

2 کرمان خیابان جهاد جهاد 37 ساختمان بام 2 طبقه5 واحد 10

Abstract

Studies investigating shareholders' overreaction biase have implications for investor misstatement of corporate performance. Investors value stocks with good past performance above their intrinsic value and stocks with poor past financial performance below their intrinsic value. After some time when investors realize that their previous expectations were not right, the stock price returns to its intrinsic and fair value. The present study investigates the overreaction biase of Tehran Stock Exchange shareholders. The research time period is 10 years from 2008 to 2017. The statistical population of the research is the companies listed in Tehran Stock Exchange. The research method is portfolio test. The results were analyzed by t-test. The results show that the shareholders in Tehran Stock Exchange have overreaction than the abnormal stock return.

Keywords

References

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Economic Strategy
Volume 10, Issue 38 - Serial Number 38
November 2021
Pages 533-563

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