ارزيابي واكنش كمتر از حد مورد انتظار سرمايه گذاران در بورس اوراق بهادار تهران

The Evaluation Investorʹs Underreaction in the Tehran Stock Exchange (TSE)

The findings of various Researches have challenged the validity of EMH in the last two decades. One of these challenges, is misreaction of investors to new informations that leads securities prices donʹt reflex the real value of securities. This Research has investigated the Underreaction hypothesis of Jegadeesh & Titman [19] In TSE, Through short term Returns of stocks from 1998 to 2005. In this article 6 hypothesis were analyzed. Statistical methods of T-test and Pearsonʹs correlation were used to analyze the hypothesis. Results of this Research, Contrary to Many Foreign Researches does not Represent the Underreaction of investors in 6 month periods; therefore canʹt earning excess Returns through the use of Relative Strength (Momentum) strategy in TSE.