scholarly journals Investors’ Risk Preference Characteristics and Conditional Skewness

2014 ◽  
Vol 2014 ◽  
pp. 1-14 ◽  
Author(s):  
Fenghua Wen ◽  
Zhifang He ◽  
Xiaohong Chen
Keyword(s):  
Risk Aversion ◽  
Behavioral Finance ◽  
Stock Exchange ◽  
Risk Preference ◽  
Full Description ◽  
Risk Return ◽  
Risk Seeking ◽  
The Empirical Analysis ◽  
Composite Indexes ◽  
Current Risk

Perspective on behavioral finance, we take a new look at the characteristics of investors’ risk preference, building the D-GARCH-M model, DR-GARCH-M model, and GARCHC-M model to investigate their changes with states of gain and loss and values of return together with other time-varying characteristics of investors’ risk preference. Based on a full description of risk preference characteristic, we develop a GARCHCS-M model to study its effect on the return skewness. The top ten market value stock composite indexes from Global Stock Exchange in 2012 are adopted to make the empirical analysis. The results show that investors are risk aversion when they gain and risk seeking when they lose, which effectively explains the inconsistent risk-return relationship. Moreover, the degree of risk aversion rises with the increasing gain and that of risk seeking improves with the increasing losses. Meanwhile, we find that investors’ inherent risk preference in most countries displays risk seeking, and their current risk preference is influenced by last period’s risk preference and disturbances. At last, investors’ risk preferences affect the conditional skewness; specifically, their risk aversion makes return skewness reduce, while risk seeking makes the skewness increase.

scholarly journals Performance measurement of investment companies with loss aversion in Tehran Stock Exchange

2015 ◽  
Vol 5 (3) ◽  
pp. 81-87 ◽  
Author(s):  
Shahabeddin Shams ◽  
Fatemeh Rezvani
Keyword(s):  
Risk Aversion ◽  
Prospect Theory ◽  
Correlation Coefficient ◽  
Loss Aversion ◽  
Stock Exchange ◽  
Portfolio Performance ◽  
Spearman Correlation ◽  
Risk Seeking ◽  
Investment Companies ◽  
Portfolio Return

This study measures the portfolio performance of listed investment companies in Tehran Stock Exchange (TSE) based on prospect theory. The criterion is measured by the ratio of gain to loss, to reflect risk-aversion in gains and risk-seeking in losses. The sample consists of 15 listed investment companies registered in TSE during 2003-2013. Research variables consist of portfolio return, market return, risk-free return, systematic risk, Treynor and Loss Aversion index. Hypotheses have been tested with Spearman correlation coefficient. The results show that Loss Aversion can be used as a new index for measuring portfolio performance.

Risk and Consumer Debt Behaviors in China

2012 ◽  
Vol 40 (8) ◽  
pp. 1263-1270 ◽  
Author(s):  
Jiangqun Liao ◽  
Xiaoyan Liu
Keyword(s):  
Regression Analysis ◽  
Risk Perception ◽  
High Risk ◽  
Risk Aversion ◽  
Risk Preference ◽  
Hierarchical Regression ◽  
Consumer Debt ◽  
Risk Seeking ◽  
Positive Attitudes ◽  
Debt Behavior

We investigated the risk and debt behaviors of adult consumers in China (N = 347), and explored the relationships among risk perception, risk preference, and consumer debt. The results of hierarchical regression analysis showed that risk perception, risk seeking, and risk aversion can predict consumer debt. Individuals perceiving high levels of risk were less likely to have positive attitudes toward debt behavior, whereas individuals with high risk-seeking preferences held positive attitudes toward debt behavior. Risk aversion was also found to be an ineffective predictor of debt behavior.

The General Determinants of Share Returns: An Empirical Investigation on the Dhaka Stock Exchange

2005 ◽  
Vol 08 (04) ◽  
pp. 593-612 ◽  
Author(s):  
Asma Mobarek ◽  
A. Sabur Mollah
Keyword(s):  
Asset Pricing ◽  
Empirical Investigation ◽  
Stock Exchange ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Asset Pricing Model ◽  
Risk Return ◽  
Developed Markets ◽  
The Empirical Analysis

This paper investigates the underlying factors that determine share returns on the Dhaka Stock Exchange. The empirical analysis does not support the critical condition of the Capital Asset Pricing Model of a positive relationship between share return and beta. However, it shows that variables such as size, price to book, volume of shares traded, earnings yield and cash flow yield have a significant influence on share returns. The degree and direction of relationship among the variables are similar to other emerging markets, but are not always consistent with developed markets perhaps due to lack of homogeneous expectations regarding risk return characteristics and different market microstructure.

The Effect of Underreaction and Overreaction of Firm Stocks to Firm Valuation: Data from the Indonesian Stock Exchange

2019 ◽  
Author(s):  
Yohanes Indrayono
Keyword(s):  
Behavioral Finance ◽  
Firm Value ◽  
Intangible Assets ◽  
Stock Exchange ◽  
Investor Sentiment ◽  
Firm Valuation ◽  
Good News ◽  
Industrial Sectors ◽  
Tangible Assets ◽  
Firm Profitability

<p>This study contributes to the on-going studies on behavioral finance by providing a case study on underreaction and overreaction of firm stocks to firm valuation. We use the Model of Investor Sentiment (Barberis et al., 2005) to evaluate underreaction and overreaction behavior and reflect on specific findings in the Indonesian market. The result of the study is most of the stocks in the Indonesian Stock Exchange are more overreaction to the news of firm financial statements. Firms on the industry with more intangible assets measure more overreaction than firms on industries with more tangible assets. For stocks with overreaction, the stock firm value is positively affected by a change in the total assets and profitability, but not by change of book value. The result concretized no evidence that firm stocks overreacted to the news more than underreacting. In stock industrial sectors, the financial institutions and wholesale industry stocks demonstrated remarkable overreactions. Nonetheless, automotive, building construction, food and beverage as well as cement evidenced more underreaction. For better return in financial markets, investors may buy stocks of the firm on industry with more tangible assets when there is no good news about the increasing firm profitability and sales; nonetheless, they should buy stocks of the firm on industry with more intangible assets when there is no lousy news about the increasing firm profitability and sales. </p>

Herd Behaviour: How Decisive is the Noise in the NSE and BSE Stock Markets?

2016 ◽  
Vol 6 (1) ◽  
Author(s):  
Paritosh Chandra Sinha
Keyword(s):  
Behavioral Finance ◽  
Stock Markets ◽  
High Frequency ◽  
Stock Exchange ◽  
Time Stamp ◽  
Trade Volume ◽  
Herding Behavior ◽  
Equilibrium Pricing ◽  
Indian Context ◽  
Herd Behaviour

Do investors in the stock markets act/react on true information or noise? Do they believe on their own information or simply herd? The study seeks to explore these typical research queries from the behavioral finance perspectives. In particular, it develops a new theory of herding behavior and extends the models of Banerjee (1992) and Bikhchandani, Hirshleifer, and Welch (1992). The study also empirically tests the same on the Indian context with the high frequency intraday trading data for the real trade-time or time-stamp, trade-volume, and trade-price of ten sample scripts listed for their trading in both markets - the Bombay Stock Exchange (BSE) and the National stock Exchange (NSE). The study contributes to the literature with original findings. It shows that investors in the two Indian stock markets show crowd of positive and negative herding as well significantly and there is huge noise along with information in the markets equilibrium pricing mechanism.

Respondents in Asian Cultures (e.g., Chinese) are More Risk-Seeking and More Overconfident than Respondents in Other Cultures (e.g., in United States) but the Reciprocal Predictions are in Total Opposition: How and Why?

2004 ◽  
Vol 4 (2) ◽  
pp. 263-292 ◽  
Author(s):  
Shu Li ◽  
Yongqing Fang
Keyword(s):  
United States ◽  
Social Network ◽  
Risk Taking ◽  
Risk Preferences ◽  
Risk Preference ◽  
Cross Cultural ◽  
Cultural Variations ◽  
Risk Seeking ◽  
The Social ◽  
Predicted Risk

AbstractTriggered by rather surprising findings that respondents in Asian cultures (e.g., Chinese) are more risk-seeking and more overconfident than respondents in other cultures (e.g., in United States) and that the reciprocal predictions are in total opposition, four experiments were designed to extend previous collective-culture oriented researches. Results revealed that (1) Singapore 21, which is a vision of Singapore in the 21st century and has highlighted the promotion of a collective culture, did not advocate greater risk-seeking but led to weaker overconfidence; (2) the knowledge of "financial help from social network" did not permit prediction of risk preference but the knowledge of "the value difference between possible outcomes" did; (3) the social network could be viewed not only as a positive "cushion" but also as a negative "burden" in both gain and loss domains of risky choices; (4) the predictions of the risk-as-value, risk-as-feelings and stereotype hypotheses were not consistent with the predicted risk preferences of others but the predictions of the economic-performance hypothesis were consistent with the predicted risk preferences as well as the predicted overconfidence of others. The implications for cross-cultural variations in overconfidence and for cross-cultural variations in risk-taking were discussed.

scholarly journals Portfolio Selection and Performance Evaluation Through Benjamin Graham’s Value Investing

2020 ◽  
Vol 4 (2) ◽  
pp. 11-16
Author(s):  
Vinay Kumar Srivastava ◽  
Nitin Kulshrestha
Keyword(s):  
Stock Exchange ◽  
Practical Implication ◽  
Jel Classification ◽  
Value Investing ◽  
The Mean ◽  
And Performance ◽  
Indian Stock Market ◽  
The Empirical Analysis ◽  
Practical Impact ◽  
Passive Strategy

Purpose: The objective of this study is to validate the value investing concerning filtering valued stock in the Indian stock market (Nifty 50) & United States (Dow Jones) during the period 2014 -20. Design /Methodologies/Approach:  We have selected the data of the National Stock Exchange and Dow Jones to apply the value investing technique for choosing the stocks and building a significant portfolio. Further, we compare the mean returns of B & H passive strategy. The empirical analysis includes the selected portfolio from Jan 2014 to May 2020. Results & Practical Implication: The mean return of portfolio selected by Value investing outperform as comparative to passive strategy, i.e. Buy & Hold strategy. The successful application of value investing will encourage the practitioners & academicians of financial markets to research & explore further uses & practical impact of the present study. JEL Classification Codes: F37.                          

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