Loading...

Investigating the Rank Effect in the Trading Behavior of Iranian Mutual Funds

Jafari, Ehsan | 2021

197 Viewed
  1. Type of Document: M.Sc. Thesis
  2. Language: Farsi
  3. Document No: 54825 (44)
  4. University: Sharif University of Technology
  5. Department: Management and Economics
  6. Advisor(s): Ebrahimnejad, Ali
  7. Abstract:
  8. The rank effect means that investors are more likely to sell the best or worst positions in their portfolio in terms of returns. According to this effect, the probability of selling a stock in a prominent position (first or last) is higher than other stocks in the portfolio. Apart from being a behavioral bias, the rank effect is that the decision to sell a stock depends on how it is compared and ranked with the rest of the portfolio. In this study, we examine the rank effect on the trading behavior of Iranian mutual funds for the period 1390-1399 and find that it is significant. First in a statistical and univariate form, and then by including other variables such as firm-specific information, level of return, holding period, and controlling them, we investigate this effect. Finally, it is observed that the probability of selling a stock that is in the first or last place in the investment portfolio of funds is on average 11% higher. This probability is 6.8% higher for the second ranks. Given the upward trend in people's willingness to invest in mutual funds and the high value of their transactions, which have a significant impact on market trends and efficiency, it can be essential to study the behavior of mutual funds
  9. Keywords:
  10. Behavioral Finance ; Behavioral Bias ; Mutual Fund ; Rank Effect ; Trading Behavior

 Digital Object List

 Bookmark

No TOC