Disposition Effect and Firm Size: New Evidence on Individual Investor Trading Activity

2001 ◽  
Author(s):  
Elena Ranguelova
Keyword(s):  
Firm Size ◽  
Disposition Effect ◽  
Individual Investor ◽  
Trading Activity ◽  
Investor Trading ◽  
New Evidence

New Evidence on the Role of Size Effect in Determining the Pricing of Risk, Volatility Dynamics, and Economic Exposure of Firm Returns

2020 ◽  
Vol 9 (3) ◽  
pp. 1-25
Author(s):  
Faisal Khan ◽  
Sharif Ullah Jan
Keyword(s):  
Size Effect ◽  
Stock Returns ◽  
Firm Size ◽  
Research Study ◽  
Leverage Effect ◽  
Conditional Heteroskedasticity ◽  
Economic Factors ◽  
Monthly Data ◽  
New Evidence

This research study analyses the role of size effect in detecting the pricing of risk, various volatility dynamics, and economic exposure of firm returns on the Pakistani stock market by employing monthly data for the period from 1998 to 2018. Three generalized autoregressive conditional heteroskedasticity models were applied: GARCH(1,1) for capturing different volatility dynamics, GARCH-M for pricing of risk, and EGARCH for asymmetric and leverage effect. The findings of the study are as follows: Firstly, the authors untie that pricing of risk is subject to considerable variations with respect to firm size. Secondly, in the process of detecting whether the firm size matters in the case of asymmetry and leverage effect, they find that it is indeed the case. Thirdly, size effect plays a substantial role in determining various volatility dynamics. Finally, they uncover that economic factors affect stock returns differently based on firm size, signifying the role of size effect.

Overconfidence and Disposition Effect in Indian Equity Market: An Empirical Evidence

2017 ◽  
Vol 19 (5) ◽  
pp. 1303-1321 ◽  
Author(s):  
Jaya M. Prosad ◽  
Sujata Kapoor ◽  
Jhumur Sengupta ◽  
Saurav Roychoudhary
Keyword(s):  
Empirical Evidence ◽  
Equity Market ◽  
Disposition Effect ◽  
Impulse Response Functions ◽  
Individual Investor ◽  
Var Models ◽  
The Individual ◽  
Overconfidence Bias ◽  
The Impact ◽  
Individual Security

The article investigates the presence of the disposition effect and overconfidence in the Indian equity market during 2006–2013 and provides some robust empirical evidence. It applies bivariate and trivariate vector autoregression (VAR) models and associated impulse response functions on the Indian equity market from NIFTY 50 index and individual security returns. The study arrives at three key findings. First, the presence of the biases, overconfidence and the disposition effect is detected in Indian equity market for our sample period. Second, the impact of these two biases can be distinctly segregated for 20 companies among the companies in the index. Lastly, the overconfidence bias is found to be predominant of the two. The study endorses the fact that like other developing markets, the Indian markets are not so efficient with respect to overconfidence and the disposition effect. This article is one of the few to provide empirical evidence for the behavioural issues (i.e., overconfidence and the disposition effect) at a market level that is otherwise studied at the individual investor level.

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