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MARIUSZ KICIA
Heuristic valuation and investment performance
of individual investors
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The financial market volatility and efficiency of its functions depends on the EHKDYLRURIWKHPDUNHWSDUWLFLSDQWV:LWKWKHFXUUHQWVL]HRIWKHILQDQFLDOPDUNHWV DQGWKHLUJURZLQJLQWHUQDWLRQDOUHODWLRQVKLSVDQLQGLYLGXDOLQYHVWRUPD\REYLRXVO\ EHFRPHOHVVLPSRUWDQWDOWKRXJKWRTXLWHVKDOORZDQGGHYHORSLQJHPHUJLQJPDUNHWV individual investors may still play a significant role in pricing securities. Even if we assume that the market efficiency provides the same information at the same time to DOO RUDOPRVWDOO GHFLVLRQPDNHUVWKHZD\LWLVLQFRUSRUDWHGLQWRPDUNHWSULFHVYDULHV QRWRQO\DFFRUGLQJWRLQYHVWPHQWVWUDWHJLHVLQYHVWPHQWKRUL]RQEXWGHSHQGVRQSULFLQJ method, risk perception, timing and formal restrictions in potential decisions. In that case individual investors may act different than institutions and if they are a leading group of the market agents an informal and intuitive process of incorporating infor-PDWLRQLQWRSULFHVFDQHQGLQVSHFXODWLYHEXEEOHV7KDW¶VZK\LQGLYLGXDOLQYHVWRUVDUH called quasi rational or irrational. Financial market activity of irrational investors leads to an increase in market volatility. Empirical studies show that only one third RIFKDQJHVLQVWRFNSULFHVLVDUHVXOWRIFKDQJHVLQIXQGDPHQWDOIDFWRUVWKDWFDQEH considered as drivers of rational expectations. The remaining part of the volatility of stock prices is largely the result of the activity of irrational investors.
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The modern theory of finance does not pay much attention to the irrationality of investors. It was assumed that they were an easy prey for other investors who were LQYROYHGLQDUELWUDJHRUFDUU\LQJRXWVSHFXODWLYHWUDQVDFWLRQVIRFXVHGRQPHDQUHYHU-sion. On the other hand waves of optimism due to increases of stock market indices
and the waves of pessimism due to their declines prevailing among individual inves-WRUVFDQEHDUHDVRQZK\VWRFNSULFHVGLYHUJHIURPWKHOHYHOVRIWKHLUIXQGDPHQWDO YDOXHV,ILUUDWLRQDOLQYHVWRUVDUHFRQYLQFHGWKDWVKDUHVVKRXOGEHERXJKWRUVROGDV VRRQ DV SRVVLEOH HYHQ DJDLQVW (0+ RYHUHVWLPDWHG VWRFN SULFHV PD\ VWLOO ULVH DQG XQGHUHVWLPDWHGNHHSIDOOLQJ7KHGHVFULEHGEHKDYLRUVLQGXFHDQRWKHUNLQGRIILQDQFLDO PDUNHWULVNWKHULVNRILUUDWLRQDOLQYHVWRUVWKDWPD\EHSHUVLVWHQW,WLVREVHUYHGZKHQ HYHQLIPLVSULFLQJRIPDUNHWDVVHWSULFHVDSSHDUVYDOXHVDUHQRWFRUUHFWHGTXLFNO\
Rational investors follow the course of events assuming that since the fundamental YDOXHRIVWRFNIROORZVUDQGRPZDONSURFHVVWKHQVWDELOL]LQJVSHFXODWLRQHYHQZLWKRXW LUUDWLRQDOLQYHVWRUVLVULVN\DVUHODWLRQVKLSVEHWZHHQPDUNHWSULFHVDQGIXQGDPHQWDO IDFWRUVLVQRWVWDEOH7KHXQFHUWDLQW\RIWKHVHFRPSRXQGVLVDQDUHQDRILUUDWLRQDO investors acting as noise traders than reacting to change in fundamentals (Focault, 6UDHU7KHVPDU
7KHUHDVRQIRUVXFKEHKDYLRUPD\EHDODFNRIWRROVWKDWDOORZLQGLYLGXDOLQYHVWRUV to formally estimate the fair value of instruments as a reference value when mak-ing investment decisions. That says individual investors do not have the appropriate decision-making tools. They rather use their intuition or simplified calculations due WRDSUREOHPZLWKREWDLQLQJSURSHULQIRUPDWLRQLWVLQWHUSUHWDWLRQDQGWKHWLPHUH-strictions. Hence, the common practice of their formal valuation method are simple EXWRIWHQXQUHOLDEOHPXOWLSOHV,QWKHDEVHQFHRIDUHIHUHQFHSRLQWGHFLVLRQPDNLQJ EHFRPHVHPRWLRQDODQGVLPLODUWRJDPEOLQJUDWKHUWKDQDSODQQHGLQYHVWPHQW2QWKH other hand formulating of comprehensive forecasts and expectations regarding the situation of issuers, predicting revenues, expenses, profits, cash flows etc. exceeds the capacity of most individual investors though is necessary when the most complete DQGUHOLDEOHPHWKRGVRIYDOXDWLRQ '&) DUHDSSOLHGE\LQVWLWXWLRQDOLQYHVWRUV
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The paper presents concept of such tool and tests its usefulness in application at still emerging Polish stock market over 2000–2013 period. The sample of 415 com-SDQLHVOLVWHGDWWKHPDLQPDUNHWRIWKH:DUVDZ6WRFN([FKDQJHZDVWKHVXEMHFWRI H[SHULPHQWVLQWKUHHYDULDQWVRIWKHKHXULVWLF VLPSOLILHG YDOXDWLRQPRGHO6LPXODWLRQV were provided to test whether the use of the heuristic pricing model would improve WKHSHUIRUPDQFH DYHUDJHUHWXUQVRQLQYHVWPHQW RIK\SRWKHWLFDOLQGLYLGXDOLQYHVWRU¶V VLQJOHDVVHWSRUWIROLR0RGHOVZHUHDOVRWHVWHGRQIXQGDPHQWDOGDWDGHULYHGIURPERWK stand-alone and consolidated financial statements. The concept of the model and its WHVWLQJLVSUHFHGHGE\WKHUHYLHZRIHPSLULFDOVWXGLHVRQWKHLQYHVWPHQWEHKDYLRURI individual investors.
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Empirical researches of investors’ activities at the stock market highlight some VSHFLILFEHKDYLRUVRILQGLYLGXDOLQYHVWRUVWKDWFDQDIIHFWWKHLUSRUWIROLRVSHUIRUPDQFH Numerous researches show inclination to follow heuristic thinking and cognitive RUHPRWLRQDOELDVHVZKHQLQYHVWLQJ7KHPDLQDUHDVRILUUDWLRQDOEHKDYLRUFRQFHUQ stochastic of price changes, pricing securities, portfolio management strategies and WUDQVDFWLRQSUDFWLFH 'H%RQGW 0RVWLQGLYLGXDOLQYHVWRUVIROORZDWUHQG7KH UHVHDUFKSURYLGHGDPRQJ$PHULFDQ$VVRFLDWLRQRI,QGLYLGXDO,QYHVWRUVPHPEHUVVKRZ WKDWJURZWKRIVWRFNPDUNHWLQGH[LQDZHHNLQFUHDVHVWKHGLIIHUHQFHEHWZHHQ investors expecting index to continue rising the following week and investors expect-ing index to fall. Moreover, investors’ sentiment depends on market performance LQ SUHYLRXV GD\V 'H %RQGW DQG WUHQG RU ULVN H[WUDSRODWLRQ IRU PRVW RI LQYHVWRUVLVRQO\LQWXLWLYHDQGQDLYH $QGUHDVVHQ %XOOPDUNHWPDNHVLQYHVWRU PRUHEXOOLVKZKLOHEHDUPDUNHWPDNHVWKHPPRUHEHDULVK
6LPLODU LQWXLWLYH SURFHVVHV DUH REVHUYHG LQ FDSLWDO DVVHWV SULFLQJ 2QO\ D IHZ individual investors use formal pricing models, while using informal information IURP RWKHU LQYHVWRUV RU ILQDQFLDO DGYLVRUV WKDW PD\ FDXVH DYDLODELOLW\ DQG DQFKRU-ing heuristics is a common practice. Individuals consider stocks that recently grew VKDUSO\RUDUHKLJKOLJKWHGLQPHGLDDVWKHEHVWLQYHVWPHQW 6KLOOHU 7KH\FKRVH DOVRRYHUYDOXHGFRPSDQLHVZLWKKLJKSULFHWRERRNYDOXHUDWLR0RVWRIWKHLQGLYLGXDO investors do not use formal strategy rules and most of their decisions are random and RIWHQDUHQRWSODQQHG(YHQLIIRUPDOVWUDWHJ\H[LVWVLWLVFRPPRQO\EURNHQ 6KHIULQ DQG6WDWPDQ DQGDYHUDJHLQGLYLGXDOLQYHVWRUSRUWIROLRLVXVXDOO\ZHDNO\GLYHU-VLILHG 6KHIULQ%HQDUW]LDQG7KDOHU
&RPELQDWLRQRIVLWXDWLRQDODQGLQGLYLGXDODSSURDFKHVWRULVNSURSHQVLW\WKURXJK consideration of individual responses to different risk domains is another interest-LQJDQGSURPLVLQJVWUHDPRIUHVHDUFK7KHZRUNRI:HEHUDQG0LOOLPDQ DQG VXEVHTXHQWZRUNE\:HEHUHWDO UHSUHVHQWVDQLPSRUWDQWGHYHORSPHQWLQWKLV field. Authors found that while the degree of risk perceived in a situation could vary according to the characteristics of the situation, attitude to perceived risk (the degree WRZKLFKSHRSOHILQGSHUFHLYHGULVNDWWUDFWLYH UHPDLQHGVWDEOHDFURVVVLWXDWLRQVIRU a significant portion of their sample. Researches in this area (Fagley and Miller, 1997; :HEHUDQG0LOOLPDQ VKRZWKDWLWLVSRVVLEOHWREHULVNVHHNLQJLQVRPHDUHDVRI one’s life and risk averse in others while having a relatively consistent view of risk.
0.DXVWLDDQG6.QXSIHUSURYHGWKDWWKHUHZDVDGHSHQGHQFHEHWZHHQSUHYLRXV IPO success in Finland and the interest in participating another initial offer. That is DQREYLRXVHYLGHQFHRIPHQWDODFFRXQWLQJKHXULVWLFNQRZQDVhouse-money effect. Authors stress that although there is still a some empirical evidence of how investors DFTXLUHNQRZOHGJHDQGFDSWXUHH[SHULHQFHLWZDVGLVFRYHUHGWKDWH[SHULHQFHGLQYHV-WRUVXVXDOO\IDOOLQOHVVEHKDYLRUDOWUDSVWKDQLQH[SHULHQFHGVWRFNPDUNHWEHJLQQHUV .DXVWLDDQG.QXSIHU
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:%(OOLRWW)'+RGJHDQG.(-DFNVRQH[DPLQHGKRZLQGLYLGXDOLQYHVWRUV¶ H[SHULHQFHPD\LQIOXHQFHQRWRQO\SRUWIROLRPDQDJHPHQWWHFKQLTXHVEXWDOVRWKHZD\ information is analyzed and processed. On the one hand they proved that experience LQILQDQFLDOLQYHVWPHQWKDGSRVLWLYHHIIHFWRQSRUWIROLRUHWXUQVEXWLWZDVQ¶WFOHDULI LW LQIOXHQFHG UHODWLRQVKLS EHWZHHQ WKH VHW RI LQIRUPDWLRQ FRQVLGHUHG DV LPSRUWDQW DQG SRUWIROLR SHUIRUPDQFH $XWKRUV QRWLFHG WKDW PHWKRGV RI REWDLQLQJ DQDO\]LQJ and integrating information differ with professional and individual investors (Elliot HWDO
)LQDOO\ UHVHDUFK SURYLGHG E\ 7/ /LDR DQDO\]LQJ LQYHVWPHQW VWUDWHJLHV DW Taipei and Shanghai stock exchanges proved that market overreactiveness is a feature of markets with a relatively short history. The younger the market the lower risk of SXEOLVKLQJXQH[SHFWHGQHJDWLYHLQIRUPDWLRQDQGLQFRQVHTXHQFHWKHPRUHHPRWLRQDO is investors’ reaction as well as market volatility. On the other hand, market develop-ment covering at least a few cycles of economy experiences investors and causes the OHYHORIRYHUUHDFWLYHQHVVWREHVLJQLILFDQWO\ORZHU /LDR
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Methods of using multiples as well as discounted cash flows to estimate fair YDOXHRIVWRFNVDUHZLGHO\GRFXPHQWHGLQERWKOLWHUDWXUHDQGSUDFWLFHRIWKHILQDQFLDO markets. For institutional investors or investment recommendations they are common SHUIRUPLQJHYDOXDWLYHIXQFWLRQVEHLQJDVXEMHFWRIQHJRWLDWLRQVLQ0 $WUDQVDFWLRQV DQGUDWLRQDOUHIHUHQFHWRIRUPDOLQYHVWPHQWVWUDWHJ\7KHXVHRIERWKPHWKRGVDWWKH VDPHWLPHLVMXVWLILHGDVWKH\PD\SUHVHQWGLIIHUHQWYDOXHVGXHWRGLIIHUHQWXQGHUO\LQJ factors and procedures of valuation.
DCF valuation has the most solid fundaments in theory of finance and furthermore all other methods of valuation origin from the analysis of discounted cash flows. The DGYDQWDJHLQXVLQJ'&)YDOXDWLRQFRPHVIURPWKHIDFWWKDWLWLVWKHRQO\PHWKRGE\ ZKLFKLWLVSRVVLEOHWRHVWLPDWHHFRQRPLFYDOXHRIWKHFRPSDQ\EDVHGRQO\RQSRWHQ-WLDOFDVKIORZVWKDWDUHH[SHFWHGWRDSSHDULQDORQJWHUPDQGE\WKLVLWIRUFHVORQJ term forecasting of all investment ventures. At the same time a long perspective of IRUHFDVWVLQFRUSRUDWHVTXLWHDVLJQLILFDQWDPRXQWRIULVNWKDWIRUHFDVWVDUHLQFRUUHFW 0RUHRYHURIWHQDODUJHSDUWRIWKHYDOXHLVDFFRXQWHGDVUHVLGXDOYDOXHWKDWLVTXLWH sensitive to changes of parameters.
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financial companies listed at the Warsaw Stock Exchange’s main market valuation SURFHGXUHVZHUHDSSOLHGLQDOOTXDUWHUVZKHQILQDQFLDOGDWDZDVDYDLODEOH)LQDQFLDO GDWDIRUWKHVDPSOHRIFRPSDQLHVOLVWHGLQ±ZDVSURYLGHGE\1RWRULD 6HUYLFH2XWRIDOOWHVWHGFRPSDQLHVRQO\WKHVHZLWKDWOHDVWTXDUWHUO\YDOXDWLRQV ZHUHTXDOLILHGWRWKHQH[WVWHSRIWHVWLQJSURFHGXUH HJKDYLQJUHIHUHQFHIXQGDPHQWDO YDOXHVDFFRUGLQJWR0RGHO,,,DQG,,,VHSDUDWHO\IRUDWOHDVW\HDUV )RUDOOSHULRGV with reference values of all selected companies 500 hypothetical transaction (e.g. open DQGFORVHGDWHV ZHUHUDQGRPO\VHOHFWHGDQGDQQXDOUHWXUQIRUHDFKWUDQVDFWLRQFDO-FXODWHG7KHDYHUDJHDQQXDOUHWXUQDQGVWDQGDUGGHYLDWLRQUHSUHVHQWHGDGLVWULEXWLRQ RISRVVLEOHUHWXUQVIRULQYHVWRUVZLWKRXWIXQGDPHQWDOUHIHUHQFHYDOXH
7KHVDPHSURFHGXUHZDVDSSOLHGEXWDQRWKHUWUDQVDFWLRQVZHUHDFFRXQWHG RQO\LIWHVWHGPRGHOVDGYLVHGWKDWWUDQVDFWLRQZRXOGEHSURILWDEOHDWWKHPRPHQWRI testing. That said if market price was higher than a heuristic fair value shares were recognized as overvalued and hypothetical investor stayed passive. The average annual UHWXUQDQGVWDQGDUGGHYLDWLRQUHSUHVHQWHGDGLVWULEXWLRQRISRVVLEOHUHWXUQVIRULQYHV-WRUVZLWKIXQGDPHQWDOUHIHUHQFHYDOXHSURYLGHGE\0RGHO,,,DQG,,,UHVSHFWLYHO\
%\ FURVVFRPSDULQJ WKH UHVXOWV RI ERWK VDPSOHV UDQGRP DQG KHXULVWLF LQYHVW-PHQWV IRUDOOFRPSDQLHVLWZDVDQDO\]HGZKHWKHULQYHVWRUVXVLQJKHXULVWLFPRGHOV could improve their results comparing to random investing. The same procedures were provided using stand-alone and consolidated financial statements.
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I II III
IV V VI
Financial statements
stand-alone stand-alone stand-alone consolidated consolidated consolidated
Initial sample of companies 415 415 415
415 415 415
Applied model of valuation I II III
I II III
&RPSDQLHVTXDOLILHGIRUVWHS,, 288 178 181
238 226 172
Companies with improved results using model
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± ± ± No. of stocks with increased results (statistically
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20 7 10
24 10 11
Average increase of returns – only cases with statistically significant difference in returns
No. of stocks with decreased results (difference LQUHWXUQVVWDWLVWLFDOO\VLJQLILFDQWĮ
33 7 31
23 11 22
Average decrease of returns – only cases with statistically significant difference in returns
± ± ±
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([SHULPHQWVVKRZWKDWLWLVSRVVLEOHWRLPSURYHUHVXOWVZLWKDGGLWLRQDOLQIRUPDWLRQ RQIDLUSULFHOHYHOVEXWLIZHFRQVLGHULQGLYLGXDOLQYHVWRUVZLWKUDQGRPVWUDWHJ\RI selection securities over the analyzed period valuation itself will not separate stocks WRH[DFWZLQQHUVDQGORVHUV$OPRVWWKHVDPHQXPEHURILQYHVWRUVZRXOGLPSURYH their portfolio results as those who would face downgrading their effectiveness. Pos-VLEOHDYHUDJHGHFUHDVHRIDYHUDJHUHWXUQVLVLQDOPRVWDOOFDVHVKLJKHUWKDQDYHUDJH increase for opposite securities. The one case is experiment IV with Model I and the use of financial information from consolidated statements.
In general, all the results indicate that simplifying valuation in for proposed meth-RGVPD\SURYLGHEHWWHUUHVXOWVWKHOHVVVLPSOLILFDWLRQLISURYLGHGLQWRWKHSURFHGXUH YDOXDWLRQEDVHGRQGLVFRXQWHGFDVKIORZV7KHPRUHLWLVFRQVLVWHQWZLWKFRPSOH[ '&)WKHEHWWHUPDUNHWWUDFNLQJLWPD\SURYLGHDVEHWWHUQHWUHVXOWVZHUHSURYLGHGE\ 0RGHO,RQFRQVROLGDWHGVWDWHPHQWVWKDQPRVWVLPSOLILHGPXOWLSOHEDVHG0RGHO,,, This result is not surprising if we take in mind that individual investors usually are not the group influencing market prices due to their capital dispersion. They could impact market prices in a long time if a large enough group of individuals would
EHKDYHLQWKHVDPHZD\RUZRXOGXVHWKHVDPHDQDO\WLFDOWRROVVLJQDOLQJEX\LQJRU selling at almost the same moment. Herding effects that appear in those circumstances could cause waves of growth or decline to the market. Shallow markets with rather ORZWXUQRYHULOOLTXLGLW\DQGODFNRIUDWLRQDOLQYHVWRUVPD\EHDJRRGH[DPSOHFRQ-firming that it is easier to manipulate prices in that case. At the developed markets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
Although presented results of experiments do not seem optimistic for individual investors and their strategies for the market as a complex system are promising. Among others they confirm that the Polish stock market is effective in at least semi-strong level of EMH as other most developed markets.
%LEOLRJUDSK\
1. $QGUHDVVHQ3%Explaining the price-volume relationship: The difference between price changes and
changing prices³2UJDQL]DWLRQDO%HKDYLRUDQG+XPDQ'HFLVLRQ3URFHVVHV´YRO ±
2. %HQDUW]L67KDOHU5Naive Diversification Strategies in Defined Contribution Savings Plans, >LQ @57KDOHU HG Advances in Behavioral Finance, vol. II, Princeton University Press, 2005. 3. Chen G., Kim K.A., Nofsinger J.R., Rui O.M., Trading Performance, Disposition Effect,
Over-confidence, Representativeness Bias, and Experience of Emerging Market Investors, “Journal of
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International Journal of Finance”, vol. 14, no. 4, 2002, 2388–2397.
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16. Walesiak M., Distance Measure for Ordinal Data³$UJXPHQWD2HFRQRPLFD´:URFáDZ8QLYHUVLW\ RI(FRQRPLFVQR ±
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The paper presents a concept of simplified valuation models and tests their usefulness in applica-WLRQE\LQGLYLGXDOLQYHVWRUVDWWKH3ROLVKVWRFNPDUNHWRYHU±,WLVGLVFXVVHGZKHWKHULWZRXOG EHUDWLRQDOWRFRPELQHFRPPRQIXQGDPHQWDOYDOXDWLRQPHWKRGVRIPXOWLSOHVDQG'&)SUHVHUYLQJWKH relative simplicity of multiples as well as complexity and consistency of discounted cash flows to pro-YLGHXVHIXOK\EULGWRROHYHQZKHQLQGLYLGXDOLQYHVWRUVIROORZEHKDYLRUDOKHXULVWLFVDQGVLPSOLILFDWLRQV while making investment decisions. Results of experiments indicate that use of proposed valuation PHWKRGVZRXOGQ¶WKDYHDQXQHTXLYRFDOLPSDFWRQLQYHVWPHQWVWUDWHJ\RILUUDWLRQDOLQGLYLGXDOLQYHVWRUV ZLWKTXLWHORZDYHUDJHLPSURYHPHQWVRIDQQXDOUHWXUQV IURPWRH[WUDUHWXUQ RQO\LQDERXW half of all 415 analyzed stocks.
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