Is the 52-high-price Strategy Explained by Behavioral Finance? (Uncertainty Effect)

Document Type : Original Article

Authors

1 PhD Candidate Faculty of Management and Economy, Science and Research Branch, Islamic Azad University, Tehran, Iran (corresponding author)

2 Professor and Faculty Member Department of Accounting, Faculty of Management and Economy, Science and Research Branch, Islamic Azad University,Tehran, Iran

Abstract

The aim of this study is to investigate a behavioral approach by anchoring bias as a criterion to explain 52-week-high strategy and trough this we can find an explain for momentum strategy at uncertainty situation, to the companies listed on the Tehran Stock Exchange. The information uncertainty criteria include the book value to market value (BV / MV), company age (Age), the size of the entity (MV), lowest price to the highest price of the stock ratio (LHR), the standard deviation of stock returns (STD) and the standard deviation of operating cash flow (CFVOLA). To investigate this issue  four-hypotheses developed for this purpose and data of 99 companies of Tehran Stock Exchange was analyzed for the period 2007 to 2015.the research method performed by panel data analyzed, Results show that for all the variables except for STD (standard deviation of stock returns), by increasing the degree of information uncertainty, stock returns trend increases(decreases) for winning(loser) portfolios.

Keywords

References

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International Journal of Finance & Managerial Accounting
Volume 2, Issue 6
August 2017
Pages 11-21

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