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:: year 16, Issue 63 (2025) ::
fa 2025, 16(63): 16-38 Back to browse issues page
Investigating the Effects of Prospect Theory on Stock Returns in the Stock Price Bubble Period
Zahra Arab Ameri1 , Mohsen Lotfi *2 , Abdolmajid Abdolbaghi AtaAbadi2 , Seyed Hosein Seyedi2
1- Department of Economics and Accounting, Shahrood University of Technology, Sharood, Iran.
2- Department of Industrial Engineering and Management, Shahrood University of Technology, Sharood, Iran.
Abstract:   (3 Views)
This research examines the influence of prospect theory on stock returns during a stock price bubble period in companies listed on the Tehran Stock Exchange. The study, which analyzed data from 120 companies between 2007 and 2021, utilized the Fama-Macbeth regression method. Findings reveal a notable difference in excess returns between companies experiencing a stock price bubble and those that are not. However, there was no significant variance in excess returns across different portfolios based on the prospect theory value. When combining portfolios based on both prospect theory and stock price bubble presence, companies with a high prospect theory value demonstrated significantly higher additional returns in non-bubble conditions compared to those with a low prospect theory value. Conversely, during a stock price bubble, companies with a high prospect theory value experienced significantly lower additional returns than those with a low prospect theory value.


 
Article number: 2
Keywords: Prospect Theory, Stock Returns, Stock Price Bubble.
Full-Text [PDF 855 kb]   (3 Downloads)    
Type of Study: Research | Subject: Special
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Arab Ameri Z, Lotfi M, Abdolbaghi AtaAbadi A, Seyedi S H. Investigating the Effects of Prospect Theory on Stock Returns in the Stock Price Bubble Period. fa 2025; 16 (63) : 2
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year 16, Issue 63 (2025) Back to browse issues page
فصلنامه حسابداری مالی Quarterly Financial Accounting
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