تاثیرگذاری وضعیت روحی سرمایه گذار بر بازگشت سرمایه مورد انتظار
محورهای موضوعی : مهندسی مالیمصطفی حیدری هراتمه 1 , محسن عامری شهرابی 2
1 - گروه اقتصاد، واحد نراق، دانشگاه ازاد اسلامی، نراق، ایران.
2 - گروه مدیریت، واحد نراق، دانشگاه ازاد اسلامی، نراق، ایران.
کلید واژه: کلید واژه ها : " وضعیت روحی سرمایه گذار ", " بازگشت سرمایه مورد انتظار ", " مالی رفتاری ", " نگرش خطر ", " اولویت های زمانی,
چکیده مقاله :
مطالعات متعددی به بررسی ارتباط وضعیت روحی سرمایه گذار با شرایط اقتصادی پرداخته اند این مقاله با ایجاد تغییراتی جزئی در الگوی لوکاس تاثیرگذاری وضعیت روحی سرمایه گذار بر بازگشت سرمایه مورد انتظار را مورد بررسی قرار می دهد که با توجه به قیمت های سهام و دارایی در بازار سرمایه در چارچوب مدل های قیمت گذاری و در چارچوب تغییرات جزیی، چگونگی تاثیرگذاری تغییرات جزئی در فاکتورهای وضعیت روحی ( اولویت زمانی و ریسک گریزی بر قیمت سهام تعیین و محاسبه می گردد . نتایج نشان می دهد : الف ) میزان مورد انتظار برای بازگشت سهام با وضعیت روحی سرمایه گذار رابطه معکوس دارد. ب ) زمانیکه سرمایه گذار وضعیت روحی خوبی دارد میزان تاثیر وضعیت روحی بر میزان مورد انتظار برای بازگشت سرمایه افزایش می یابد. ج ) متغیرهای وضعیت روحی بر بازارهای سرمایه گذاری تاثیر بیشتری دارد تا بر بازار اوراق بهادار د ) وضعیت روحی سرمایه گذار عاملی اساسی در رابطه با بازگشت سهام است ه ) یکپارچه سازی وضعیت روحی سرمایه گذار با الگوهای قیمت گذاری دارایی می تواند به تفسیر شواهد موجود از ناهنجاری های درحال رشد مربوط به رفتار سرمایه گذار کمک کند.
Several studies have examined the relationship between investor's mood and economic conditions . This paper examines the effect of investor sentiment on expected return on capital by considering changes in Lucas's model, considering equity and equity market prices in the context of pricing models and in the context of minor changes. How the slight changes in the mood factors (time preference and risk aversion affect stock prices) are determined and calculated. The results show that: a) The expected rate of return on stocks is inversely related to the investor's mood state; b) When the investor has a good mood state, the effect of the mood state on the expected return on capital increases; c ) The variables of the mood state of affairs are more influential on the investment markets than on the securities market; d) The investor's mood state is an essential factor in the stock return; e) Integrating the investor's mood state with asset pricing patterns can help interpret existing evidence of growing maladies related to investor behavior.
Allen, A.M., Fisher, G.J., 1978. Ambient temperature effects on paired associate learning. Ergonomics 21, 95–101.
Anderson, C.A., 2001. Heat and violence. Current Directions in Psychological Science 10, 33–38.
Ariel, R.A., 1990. High stock returns before holidays: existence and evidence on possible causes. Journal of Finance 45, 1611–1626.
Au, K., Chan, F., Wang, D., Vertinsky, I., 2003. Mood in foreign exchange trading: cognitive processes and performance. Organizational Behavior and Human Decision Processes 91, 322–338.
Baron, R.A., Ransberger, V.M., 1978. Ambient temperature and the occurrence of collective violence: the long, hot summer revisited. Journal of Personality and Social Psychology 36, 351–360.
Becker, G.S., Mulligan, C.B., 1997. The endogenous determination of time preference. Quarterly Journal of Economics 112, 729–758.
Cao, M., Wei, J., 2005. Stock market returns: a note on temperature anomaly. Journal of Banking & Finance 29, 1559–1573.
Chang, T., Nieh, C.C., Yang, M.J., Yang, T.Y., 2006. Are stock market returns related to the weather effects? Empirical evidence from Taiwan. Physica A 364, 343–354.
Chopra, N., Lee, C.M.C., Shleifer, A., Thaler, R., 1993. Yes, discounts on closed-end funds are a sentiment index. Journal of Finance 48, 801–808.
Conlisk, J., 1996. Why bounded rationality? Journal of Economic Literature 34, 669–700.
Cunningham, M.R., 1979. Weather, mood and helping behavior: quasi-experiment with the sunshine Samaritan. Journal of Personality and Social Psychology .37, 1947–1956.
Daniel, K., Hirshleifer, D., Teoh, S.H., 2002. Investor psychology in capital markets: evidence and policy implications. Journal of Monetary Economics 49, 139–209.
Dowling, M., Lucey, B.M., 2005. Weather, biorhythms, beliefs and stock returns – some preliminary Irish evidence. International Review of Financial Analysis ,14, 337–355.
Eagles, J.M., 1994. The relationship between mood and daily hours of sunlight in rapid cycling bipolar illness. Biological Psychiatry 36, 422–424.
Estrada, C.A., Isen, A.M., Young, M.J., 1997. Positive affect facilitates integration of information and decreases anchoring in reasoning among physicians. Organizational Behavior and Human Decision Processes 72, 117–135.
Etzioni, A., 1988. Normative-affective factors: towards a new decision-making model. Journal of Economic Psychology 9, 125–150.
Falato, A., 2009. Happiness maintenance and asset prices. Journal of Economic Dynamics and Control 33, 1247–1262.
Finucane, M.L., Alhakami, A., Slovic, P., Johnson, S.M., 2000. The affect heuristic in judgments of risks and benefits. Journal of Behavioral Decision Making , 13, 1–17.
Forgas, J.P., 1995. Mood and judgment: the affect infusion model (AIM). Psychological Bulletin 117, 39–66.
Forgas, J.P., 1998. On being happy and mistaken: mood effects on the fundamental attribution error. Journal of Personality and Social Psychology 75,318–331.
Forgas, J.P., Ciarrochi, J., 2001. On being happy and possessive: the interactive effects of mood and personality on consumer judgments. Psychology and , Marketing 18, 239–260.
Frijda, N., 1988. The laws of emotion. Cognition and Emotion 1, 235–258.
Goldstein, K.M., 1972. Weather, mood, and internal–external control. Perceptual Motor Skills 35, 786.
Hanoch, Y., 2002. Neither an angel nor an ant: emotion as an aid to bounded rationality. Journal of Economic Psychology 23, 1–25.
Hirshleifer, D., 2001. Investor psychology and asset pricing. Journal of Finance 64, 1533–1597.
Hirshleifer, D., Shumway, T., 2003. Good day sunshine: stock returns and the weather. The Journal of Finance 58, 1009–1062.
Howarth, E., Hoffman, M.S., 1984. A multidimensional approach to the relationship between mood and weather. British Journal of Psychology 75, 15–23.
Isen, A.M., 2001. Some perspectives on positive affect and self-regulation. Psychological Inquiry 11, 184–187.
Isen, A.M., Geva, N., 1987. The influence of positive affect on acceptable level of risk: the person with a large canoe has a large worry. Organizational Behavior and Human Decision Processes 39, 145–154.
Johnson, E.J., Tversky, A., 1983. Affect, generalization and the perception of risk. Journal of Personality and Social Psychology 45, 20–31.
Kamstra, M.J., Kramer, L.A., Levi, M.D., 2003. Winter blues: a SAD stock market cycle. The American Economic Review 93, 324–343.
Kamstra, M.J., Kramer, L.A., Levi, M.D., 2000. Losing sleep at the market: the daylight-savings anomaly. The American Economic Review 90, 1005–1011.
Kaufman, B.E., 1999. Emotional arousal as a source of bounded rationality. Journal of Economic Behavior and Organization 38, 135–144.
Keef, S.P., Roush, M.L., 2007. Daily weather effects on the returns of Australian stock indices. Applied Financial Economics 17, 173–184.
Keller, M.C., Fredrickson, B.L., Ybarra, O., Coˆteˇı, S., Johnson, K., Mikels, J., Conway, A., Wager, T., 2005. A warm heart and a clear head. Psychological Science , 16, 724–731.
Krivelyova, A., Robotti, C., 2003. Playing the field: geomagnetic storms and international stock markets. Working paper, Federal Reserve Bank of Atlanta.
Lee, C., Shleifer, A., Thaler, R., 1991. Investor sentiment and the closed-end fund puzzle. Journal of Finance 46, 75–109.
Lo, A.W., Repin, D.V., 2002. The psychophysiology of real-time financial risk processing. Journal of Cognitive Neuroscience 14, 323–339.
Loewenstein, G.F., 1996. Out of control: visceral influences on behavior. Organizational Behavior and Human Decision Processes 65, 272–292.
Loewenstein, G.F., 2000. Emotions in economic theory and economic behavior. The American Economic Review 65, 426–432.
Loewenstein, G.F., Hsee, C.K., Weber, E.U., Welsh, N., 2001. Risk as feelings. Psychological Bulletin 127, 267–286.
Loewenstein, G., O’Donoghue, T., Rabin, M., 2003. Projection bias in predicting future utility. Quarterly Journal of Economics 118, 1209–1248.
Loewenstein, G., Prelec, D., 1992. Anomalies in intertemporal choice: evidence and an interpretation. Quarterly Journal of Economics 107, 573–597.
Lucas, R.E., 1978. Asset prices in an exchange economy. Econometrica 46, 1429–1445.
Lucey, B.M., Dowling, M., 2005. The role of feelings in investor decision-making. Journal of economic surveys 19, 211–237.
MacGregor, D.G., Slovic, P., Dreman, D., Berry, M., 2000. Imagery, affect, and financial judgment. Journal of Psychology and Financial Markets 1, 104–110.
Mann, L., 1992. Stress, affect, and risk taking. In: Yates, J.F. (Ed.), Risk-taking Behavior. Wiley, New York, pp. 201–230.
Mehra, R., 2003. The equity premium: why is it a puzzle? Financial Analysts Journal 59, 54–69.
Mehra, R., Sah, R., 2002. Mood, projection bias and equity market volatility. Journal of Economic Dynamics and Control 26, 869–887.
Nofsinger, J.R., 2005. Social mood and financial economics. The Journal of Behavioral Finance 6, 144–160.
Nygren, T.E., Isen, A.M., Taylor, P.J., Dulin, J., 1996. The influence of positive affect on the decision rule in risk situations: focus on outcome (and especially avoidance of loss) rather than probability. Organizational Behavior and Human Decision Processes 66, 59–72.
Parrott, W.G., Sabini, J., 1990.Moodandmemoryunder natural conditions: evidence formoodincongruent recall. Journal of Personality and Social Psychology59, 321–336.
Persinger, M.A., 1975. Lag responses in mood reports to changes in the weather matrix. International Journal of Biometeorology 19, 108–114.
Pilcher, J.J., Eric, N., Busch, C., 2002. Effects of hot and cold temperature exposure on performance: a meta-analytic review. Ergonomics 45, 682–698.
Rotton, J., Cohn, E.G., 2000. Violence is a curvilinear function of temperature in Dallas: a replication. Journal of Personality and Social Psychology 78, 1074–1081.
Samuelson, P.A., 1937. A note on the measurement of utility. The Review of Economic Studies 4, 155–161.
Sanders, J.L., Brizzolara, M.S., 1982. Relationships between mood and weather. Journal of General Psychology 107, 157–158.
Saunders Jr., E.M., 1993. Stock prices and Wall Street weather. The American Economic Review 83, 1337–1345.
Schneider, F.W., Lesko, W.A., Garrett, W.A., 1980. Helping behavior in hot, comfortable and cold temperature: a field study. Environment and Behavior 2, 231–261.
Schwarz, N., 1990. Feelings as information: informational and motivational functions of affective states. In: Higgins, E.T., Sorrentino, R.M. (Eds.), Handbook of Motivation and Cognition: Foundations of Social Behavior, vol. 2. Guilford, New York, pp. 527–561
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Allen, A.M., Fisher, G.J., 1978. Ambient temperature effects on paired associate learning. Ergonomics 21, 95–101.
Anderson, C.A., 2001. Heat and violence. Current Directions in Psychological Science 10, 33–38.
Ariel, R.A., 1990. High stock returns before holidays: existence and evidence on possible causes. Journal of Finance 45, 1611–1626.
Au, K., Chan, F., Wang, D., Vertinsky, I., 2003. Mood in foreign exchange trading: cognitive processes and performance. Organizational Behavior and Human Decision Processes 91, 322–338.
Baron, R.A., Ransberger, V.M., 1978. Ambient temperature and the occurrence of collective violence: the long, hot summer revisited. Journal of Personality and Social Psychology 36, 351–360.
Becker, G.S., Mulligan, C.B., 1997. The endogenous determination of time preference. Quarterly Journal of Economics 112, 729–758.
Cao, M., Wei, J., 2005. Stock market returns: a note on temperature anomaly. Journal of Banking & Finance 29, 1559–1573.
Chang, T., Nieh, C.C., Yang, M.J., Yang, T.Y., 2006. Are stock market returns related to the weather effects? Empirical evidence from Taiwan. Physica A 364, 343–354.
Chopra, N., Lee, C.M.C., Shleifer, A., Thaler, R., 1993. Yes, discounts on closed-end funds are a sentiment index. Journal of Finance 48, 801–808.
Conlisk, J., 1996. Why bounded rationality? Journal of Economic Literature 34, 669–700.
Cunningham, M.R., 1979. Weather, mood and helping behavior: quasi-experiment with the sunshine Samaritan. Journal of Personality and Social Psychology .37, 1947–1956.
Daniel, K., Hirshleifer, D., Teoh, S.H., 2002. Investor psychology in capital markets: evidence and policy implications. Journal of Monetary Economics 49, 139–209.
Dowling, M., Lucey, B.M., 2005. Weather, biorhythms, beliefs and stock returns – some preliminary Irish evidence. International Review of Financial Analysis ,14, 337–355.
Eagles, J.M., 1994. The relationship between mood and daily hours of sunlight in rapid cycling bipolar illness. Biological Psychiatry 36, 422–424.
Estrada, C.A., Isen, A.M., Young, M.J., 1997. Positive affect facilitates integration of information and decreases anchoring in reasoning among physicians. Organizational Behavior and Human Decision Processes 72, 117–135.
Etzioni, A., 1988. Normative-affective factors: towards a new decision-making model. Journal of Economic Psychology 9, 125–150.
Falato, A., 2009. Happiness maintenance and asset prices. Journal of Economic Dynamics and Control 33, 1247–1262.
Finucane, M.L., Alhakami, A., Slovic, P., Johnson, S.M., 2000. The affect heuristic in judgments of risks and benefits. Journal of Behavioral Decision Making , 13, 1–17.
Forgas, J.P., 1995. Mood and judgment: the affect infusion model (AIM). Psychological Bulletin 117, 39–66.
Forgas, J.P., 1998. On being happy and mistaken: mood effects on the fundamental attribution error. Journal of Personality and Social Psychology 75,318–331.
Forgas, J.P., Ciarrochi, J., 2001. On being happy and possessive: the interactive effects of mood and personality on consumer judgments. Psychology and , Marketing 18, 239–260.
Frijda, N., 1988. The laws of emotion. Cognition and Emotion 1, 235–258.
Goldstein, K.M., 1972. Weather, mood, and internal–external control. Perceptual Motor Skills 35, 786.
Hanoch, Y., 2002. Neither an angel nor an ant: emotion as an aid to bounded rationality. Journal of Economic Psychology 23, 1–25.
Hirshleifer, D., 2001. Investor psychology and asset pricing. Journal of Finance 64, 1533–1597.
Hirshleifer, D., Shumway, T., 2003. Good day sunshine: stock returns and the weather. The Journal of Finance 58, 1009–1062.
Howarth, E., Hoffman, M.S., 1984. A multidimensional approach to the relationship between mood and weather. British Journal of Psychology 75, 15–23.
Isen, A.M., 2001. Some perspectives on positive affect and self-regulation. Psychological Inquiry 11, 184–187.
Isen, A.M., Geva, N., 1987. The influence of positive affect on acceptable level of risk: the person with a large canoe has a large worry. Organizational Behavior and Human Decision Processes 39, 145–154.
Johnson, E.J., Tversky, A., 1983. Affect, generalization and the perception of risk. Journal of Personality and Social Psychology 45, 20–31.
Kamstra, M.J., Kramer, L.A., Levi, M.D., 2003. Winter blues: a SAD stock market cycle. The American Economic Review 93, 324–343.
Kamstra, M.J., Kramer, L.A., Levi, M.D., 2000. Losing sleep at the market: the daylight-savings anomaly. The American Economic Review 90, 1005–1011.
Kaufman, B.E., 1999. Emotional arousal as a source of bounded rationality. Journal of Economic Behavior and Organization 38, 135–144.
Keef, S.P., Roush, M.L., 2007. Daily weather effects on the returns of Australian stock indices. Applied Financial Economics 17, 173–184.
Keller, M.C., Fredrickson, B.L., Ybarra, O., Coˆteˇı, S., Johnson, K., Mikels, J., Conway, A., Wager, T., 2005. A warm heart and a clear head. Psychological Science , 16, 724–731.
Krivelyova, A., Robotti, C., 2003. Playing the field: geomagnetic storms and international stock markets. Working paper, Federal Reserve Bank of Atlanta.
Lee, C., Shleifer, A., Thaler, R., 1991. Investor sentiment and the closed-end fund puzzle. Journal of Finance 46, 75–109.
Lo, A.W., Repin, D.V., 2002. The psychophysiology of real-time financial risk processing. Journal of Cognitive Neuroscience 14, 323–339.
Loewenstein, G.F., 1996. Out of control: visceral influences on behavior. Organizational Behavior and Human Decision Processes 65, 272–292.
Loewenstein, G.F., 2000. Emotions in economic theory and economic behavior. The American Economic Review 65, 426–432.
Loewenstein, G.F., Hsee, C.K., Weber, E.U., Welsh, N., 2001. Risk as feelings. Psychological Bulletin 127, 267–286.
Loewenstein, G., O’Donoghue, T., Rabin, M., 2003. Projection bias in predicting future utility. Quarterly Journal of Economics 118, 1209–1248.
Loewenstein, G., Prelec, D., 1992. Anomalies in intertemporal choice: evidence and an interpretation. Quarterly Journal of Economics 107, 573–597.
Lucas, R.E., 1978. Asset prices in an exchange economy. Econometrica 46, 1429–1445.
Lucey, B.M., Dowling, M., 2005. The role of feelings in investor decision-making. Journal of economic surveys 19, 211–237.
MacGregor, D.G., Slovic, P., Dreman, D., Berry, M., 2000. Imagery, affect, and financial judgment. Journal of Psychology and Financial Markets 1, 104–110.
Mann, L., 1992. Stress, affect, and risk taking. In: Yates, J.F. (Ed.), Risk-taking Behavior. Wiley, New York, pp. 201–230.
Mehra, R., 2003. The equity premium: why is it a puzzle? Financial Analysts Journal 59, 54–69.
Mehra, R., Sah, R., 2002. Mood, projection bias and equity market volatility. Journal of Economic Dynamics and Control 26, 869–887.
Nofsinger, J.R., 2005. Social mood and financial economics. The Journal of Behavioral Finance 6, 144–160.
Nygren, T.E., Isen, A.M., Taylor, P.J., Dulin, J., 1996. The influence of positive affect on the decision rule in risk situations: focus on outcome (and especially avoidance of loss) rather than probability. Organizational Behavior and Human Decision Processes 66, 59–72.
Parrott, W.G., Sabini, J., 1990.Moodandmemoryunder natural conditions: evidence formoodincongruent recall. Journal of Personality and Social Psychology59, 321–336.
Persinger, M.A., 1975. Lag responses in mood reports to changes in the weather matrix. International Journal of Biometeorology 19, 108–114.
Pilcher, J.J., Eric, N., Busch, C., 2002. Effects of hot and cold temperature exposure on performance: a meta-analytic review. Ergonomics 45, 682–698.
Rotton, J., Cohn, E.G., 2000. Violence is a curvilinear function of temperature in Dallas: a replication. Journal of Personality and Social Psychology 78, 1074–1081.
Samuelson, P.A., 1937. A note on the measurement of utility. The Review of Economic Studies 4, 155–161.
Sanders, J.L., Brizzolara, M.S., 1982. Relationships between mood and weather. Journal of General Psychology 107, 157–158.
Saunders Jr., E.M., 1993. Stock prices and Wall Street weather. The American Economic Review 83, 1337–1345.
Schneider, F.W., Lesko, W.A., Garrett, W.A., 1980. Helping behavior in hot, comfortable and cold temperature: a field study. Environment and Behavior 2, 231–261.
Schwarz, N., 1990. Feelings as information: informational and motivational functions of affective states. In: Higgins, E.T., Sorrentino, R.M. (Eds.), Handbook of Motivation and Cognition: Foundations of Social Behavior, vol. 2. Guilford, New York, pp. 527–561