Investigating the Effect of Investor Heterogeneity on the Concurrence of Stock Prices andStock Returns

Document Type : Research Paper

Authors

1 Department Of Accounting . Zahedan Branch, Islamic Azad University, Zahedan, Iran

2 Assistant Professor of Accounting, Islamic Azad University, Sirjan Branch, Sirjan, Iran.

10.22051/jfm.2023.32907.2409

Abstract

Investors have heterogeneous beliefs about the value of a company. Investor homogenization is a very important assumption in the efficient market hypothesis. However, Many anomalies often occur due to too much distance between theory and reality. In this regard, the theoretical literature focuses more on the movements resulting from the beliefs of investors or the heterogeneity of investors. Stock price movements have been considered by researchers and experts as one of the most common anomalies, which indicates the movement caused by differential beliefs of investors or investor heterogeneity. The purpose of this paper is to investigate the effect of investor heterogeneity on the concurrence of stock prices and stock returns of companies. to investigate the issue, based on multivariate regression, data of 96 companies listed on the Tehran Stock Exchange during the period 2011-2018 were collected from the new Rahavard software, financial statements and the official website of the Tehran Stock Exchange and used to test research hypotheses. According to the research findings, investors who have high heterogeneity in their investments increase the synchronization of stock prices and stock returns. Heterogeneous beliefs of investors affect the concurrence of stock prices and stock returns of companies.

Keywords

References

 
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Financial Management Strategy
Volume 11, Issue 3 - Serial Number 42
November 2023
Pages 219-236

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History

  • Receive Date: 01 September 2022
  • Revise Date: 06 September 2023
  • Accept Date: 07 October 2023

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