Value -Glamour Effects as Artifact Structures of Market Mispricing Relying on Behavioral Biases: Inconsistent, Consistent Strategy

Document Type : Original Article

Authors
Sedigheh Mazaheri 1
Khadije Ebrahimi Kahrizsangi 2
Arezoo Aghaei Chadegani 2
1 PhD Candidate in Accounting, Department of accounting, Najaf Abad branch, Islamic Azad University, Najaf Abad, Iran
2 Assistant Professor of Accounting, Department of Accounting, Najaf Abad branch .Islamic Azad University,,Najaf Abad, Iran
Abstract
The superiority of value stocks as stocks performed poorly in the past was proven over glamour stocks that performed well in the past, and the market expects this performance to continue in the future. The interpretation of the reason for its returns was debatable, and researchers might think that market mispricing may justify the superiority of value stocks. Accordingly, with the help of inconsistent strategy, the present study aimed to investigate the value (glamour) effect as an artifact product of market mispricing. The present study was an applied one and took a correlation approach. The statistical population comprised the companies listed on the Tehran Stock Exchange. The data were collected from 210 listed companies from 2007 to 2019 using a mixed, cross-sectional, and time series method and analyzed by Fama and Macbeth regression. Evidence suggested that when value companies are combined with firms with strong fundamentals and an inconsistent strategy is formed, future positive returns are generated and it has negative returns, when glamour firms are combined with weak fundamentals. This study might provide a ground for government order pricing and the effect of noise traders on the stock market.
Keywords
"value effect
":"glamour effect
":"market mispricing":"inconsistent strategy":
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