THE EFFECT OF INVESTORS’ SENTIMENTS ON THE STOCK RETURN

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HEIDARPOUR F.; TARIVERDI Y.; MEHRABI M.

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Paper Information

Journal: FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES) Year:2013 | Volume:6 | Issue:17 Page(s): 1-13

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Title

THE EFFECT OF INVESTORS’ SENTIMENTS ON THE STOCK RETURN

Author(s)

HEIDARPOUR F. | TARIVERDI Y. | MEHRABI M. | Issue Writer Certificate

Keywords

INVESTOR SENTIMENTSQ2

STOCK RETURNQ2

MARKET FACTORQ3

FIRM SIZEQ3

BOOK-TO-MARKET VALUE RATIOQ3

Abstract

According to the traditional view about STOCK RETURN, stock price changes are due to systematic changes in the fundamental values of the firm. However, recent researches suggested that the investor sentiment plays a key role in price determination and explaining time series yields, especially for those stocks which valuations are highly subjective and difficult to arbitrage.This research investigates the impact of the INVESTOR SENTIMENTS on STOCK RETURN of selected portfolios which were sorted by different parameters such as size, price, BOOK-TO-MARKET VALUE RATIO and institutional ownership ratio during 2002 to 2010. Monthly return for each portfolio was calculated based on monthly return of each company by using equal weight strategy. Finally, the coefficients were estimated by using multivariable regression method on the model as time series. For this purpose, the four factor model of portfolio of market, the FIRM SIZE, book-market-value ratio and investor sentiment were used in order to explain the return. According to the results of the study, there is a positive meaningful relationship between INVESTOR SENTIMENTS and STOCK RETURN of the companies which have minimum size, book-market-value ratio and institutional ownership ratio.

Cites

EVALUATION THE ROLE OF INVESTOR’S BELIEFS ON THE DIRECTION OF PRICE AND TRADING IN CAPITAL MARKET

References

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APA: Copy

HEIDARPOUR, F., TARIVERDI, Y., & MEHRABI, M.. (2013). THE EFFECT OF INVESTORS’ SENTIMENTS ON THE STOCK RETURN. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), 6(17), 1-13. SID. https://sid.ir/paper/200387/en

Vancouver: Copy

HEIDARPOUR F., TARIVERDI Y., MEHRABI M.. THE EFFECT OF INVESTORS’ SENTIMENTS ON THE STOCK RETURN. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)[Internet]. 2013;6(17):1-13. Available from: https://sid.ir/paper/200387/en

IEEE: Copy

F. HEIDARPOUR, Y. TARIVERDI, and M. MEHRABI, “THE EFFECT OF INVESTORS’ SENTIMENTS ON THE STOCK RETURN,” FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), vol. 6, no. 17, pp. 1–13, 2013, [Online]. Available: https://sid.ir/paper/200387/en

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