Stock Valuation and Behavioural Heterogeneity in Tehran Stock Exchange

Document Type : Research Paper



This paper investigates stock valuation in Tehran Stock Exchange with regard to behavioral heterogeneity and bounded rational behavior of agents. The related information of the fundamental factors are disseminated and become available for the public, and investors assess the stock with different models, for example Gordon model. However, because of different expectations of investors, the amount of deviation from the fundamental value and the lengthiness of this deviation are viewed important. In this study, behavior of two groups of investors is examined. First, the fundamentalists who believe in movement of stock prices toward the fundamental value. Second, the chartists who think stock prices should be different from the fundamental value. Results by monthly data show that investors switch between different strategies and sometimes the chartists force the fundamentalists to change their strategies and coexist with them.


- ابریشمی، حمید. (1383). مبانی اقتصادسنجی، تألیف دامودار گجراتی، انتشارات دانشگاه تهران، ج دوم، چ سوم.
- اسلامی بیدگلی، غلامرضا. (1387) مباحثی در تئوری و مدیریت مالی، انتشارات ترمه.
- بدری، احمد. (1388). دانش مالی رفتاری ومدیریت دارایی. تالیف میشل ام. پمپین. انتشارات کیهان.
- دولتی، نیکو. (1387). بررسی وجود بازگشت به میانگین در قیمت‌های سهام در بورس اوراق بهادار تهران. پایان‌نامه کارشناسی ارشد، دانشگاه تهران، دانشکده مدیریت.
راعی، رضا، و فلاح‌پور، سعید (1383). مالیه رفتاری، رویکردی متفاوت در حوزه مالی، تحقیقات مالی، شماره 18.
- طالبی، علیرضا، (1386). بررسی تاثیر عوامل موثر بر بیش واکنشی قیمتی سهامداران عادی در بورس اوراق بهادار تهران، پایان‌نامه کارشناسی ارشد، دانشگاه تهران، دانشکده مدیریت.
- مرادی، مهدی. (1384). ارزیابی واکنش بیش از اندازه سهامداران عادی در بورس اوراق بهادار تهران، پایان‌نامه دکتری دانشگاه تهران، دانشکده مدیریت.
- Abel, A, (1989). Asset prices under heterogeneous beliefs: implications for the equity premium. Working Paper, Wharton School at University of Pennsylvania.
- Baak, S.J., (1999). Tests for bounded rationality with a linear dynamic model distorted by heterogeneous expectations. Journal of Economic Dynamics and Control, Vol. 23, pp. 1517–1543.
- Basak, S, (2005). Asset pricing with heterogeneous beliefs. Journal of Banking and Finance, Vol. 29, pp. 2849-2881.
- Boswijka, H.P, Hommes, C.H, Manzan, S. (2007). Behavioral heterogeneity in stock prices, Journal of Economic Dynamics and Control, Vol. 31, pp. 1938–1970.
- Brock, W.A, Hommes, C.H, (1997). A rational route to randomness. Econometrical, Vol. 65, pp. 1059–1095.
- Brock, W.A., Hommes, C.H, (1998). Heterogeneous beliefs and routes to chaos in a simple asset pricing model. Journal of Economic Dynamics and Control, Vol. 22, pp. 1235–1274.
- Campbell, J. Y, and Shiller, R.J. (1988). The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors, Review of Financial Studies, Vol. 1, pp. 195-228.
- Detemple, J., (1986). Asset pricing in a production economy with incomplete information Journal of Finance, Vol. 41, pp. 383-391.
- Detemple, J. and Murty, S. (1994). Intertemporal asset pricing with heterogeneous beliefs. Journal of Economic Theory, Vol. 62, pp. 294-320.
- Hirshleifer, D., (2001). Investor psychology and asset pricing. Journal of Finance, Vol. 56, pp. 1533–1597.
- Hommes, C.H., (2006). Heterogeneous agent models in economics and finance. In: Tesfatsion, L., Judd,K.J., (Eds.), Handbook of Computational Economics, Vol. 2, Agent-Based Computational Economics, North- Holland, Amsterdam.
- Jegadeesh, N., Titman, S., (1993). Returns to buying winners and selling losers: implications for stock market efficiency, Journal of Finance, Vol. 48, pp. 65-91.
- Kahneman, D. and Tversky, A. (1974). Judgment under uncertainty heuristics and biases, Science, Vol. 185, pp. 1124-1131.
- Lei, L. (2007), Essays on asset pricing with heterogeneous beliefs and bounded rational investor, PhD Dissertation, McGill University, Montreal.
- Li, T., (2007). Heterogeneous beliefs, asset prices, and volatility in a pure exchange economy. Journal of Economic Dynamics and Control, Vol. 31, pp.1697-1727.
- Miller, E. M., (1977). Risk, uncertainty, and divergence opinion. Journal of Finance, Vol. 32, No. 4.
- Ofek, E., Richardson, M., (2002). The valuation and market rationality of internet stock prices. Oxford Review of Economic Policy, Vol. 18, pp. 265-287.
- Simon, H., (1955). "A behavioral model of rational choice". Journal of Economics, Vol. 69, pp. 99-118.
- Williams, J., (1977). Capital asset prices with heterogeneous beliefs. Journal of Financial Economics, Vol. 5, pp. 219-239.
- Zapatero, F., (1998). Effects of financial innovations on market volatility when beliefs are heterogeneous. Journal of Economics Dynamics and Control, Vol. 22, pp. 597-626.
- Zhang, Y. (2008). Three essays on investor heterogeneous beliefs. PhD Dissertation, University of Nebraska.