Hassan Ghalibaf Asl; Mohsen Sadeghi Batani
Volume 11, Issue 43 , January 2012, , Pages 129-142
Abstract
One of the new approach in finance literature is behavioral finance,
that describes behavior of investors and satisfies some of the
anomalies that effective market hypothesizes were not able to describe
it. One of the statement in behavioral finance paradigm is prospect
theory and disposition effect ...
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One of the new approach in finance literature is behavioral finance,
that describes behavior of investors and satisfies some of the
anomalies that effective market hypothesizes were not able to describe
it. One of the statement in behavioral finance paradigm is prospect
theory and disposition effect that replies the position of individual
during decision making. The disposition effect's base comes from
Kahneman and Tversky’s prospect theory, point to construction of the
reference points and replies that investors will decide according to
their intended reference points. According to this theory, investors are
more likely to close positions with gains than they are to close
positions with losses. So, individuals define gains and losses relative
to the reference point, and are risk-seeking when faced with loss
outcomes and risk-averse when faced with gain outcomes. The main
goal of this research is inspection of construction of reference point on
max and min of stock price of 52 weeks prior reference point and it's
effect on volume. Results of research represent with increasing of
stock price in compared as max price of 52 weeks prior to reference,
volume increases. While with decreasing of stock price from min
price of 52 weeks prior, volume approximately remain the same.
