The Shadow of Past on the Investors’ Stock Return Expectations: Past Extrapolatıon

Year 2017, Volume: 24 Issue: 1, 151 - 168, 21.04.2017

İbrahim Emre Karaa

https://doi.org/10.18657/yonveek.307516

Abstract

Efficient markets hypothesis suggests that investors form their expectations and make decisions rationally. Psychological biases and heuristics cause systematic outrays from rationality has been documented in the field of behavioural finance. In this research, first I documented some evidence about investors’ overconfidence and overoptimism on forming their stock return expectations. Second, I presented past extrapolation on stock returns by the relations between investor’s past stock returns and outdate financial indicators. Third, investors form their future stock expectations relying on past returns mostly and financial indicators some. Last, the very strong effect of past returns does not diminish by any financial type of indicator on stock return expectations. As a result, investors are not rational as traditional theory suggests.

Keywords

Return expectations, overconfidence, overoptimism

Yatırımcıların Hisse Getirisi Beklentileri Üzerinde Geçmişin Gölgesi: Geçmiş Ekstrapolasyonu

Abstract

Etkin piyasalar hipotezi, yatırımcıların rasyonel beklentileri olacağını ve rasyonel kararlar vereceklerini ileri sürmektedir. Davranışsal finans çalışmalarında ise psikolojik yanlılıklar ve hevristikler sebebiyle yatırımcıların sistematik olarak rasyonaliteden saptıkları belirlenmiştir. Araştırmada öncelikle yatırımcıların getiri beklentilerini oluştururken rasyonaliteden uzaklaşarak aşırı güven ve iyimserlik içinde olduklarına ilişkin kanıtlar sunulmaktadır. İkinci olarak geçmiş ekstrapolasyonu; yatırımcıların hisse getiri beklentileri üzerinde kendi geçmiş hisse getirilerinin ve geçmiş finansal göstergelerin etkisi ile belirlenmiştir. Üçüncü olarak, yatırımcıların geçmiş hisse getirileri, hisse beklentileri üzerinde çok etkili olduğunda bu etki hiçbir finansal gösterge değişkeni ile azalmamaktadır. Dolayısıyla yatırımcıların geleneksel teorinin öngördüğü şekilde rasyonel olmadıkları bulgulanmıştır.

Keywords

Getiri beklentileri, Aşırı güven, Finansal göstergeler

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