Investigating the Impact of Investor's Sentiment and Trading Behavior on Excess Return: Revised Fama and French Five Factor Model

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Nasiri Sayedeh Zahra; KAMYABI YAHYA

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Title

Investigating the Impact of Investor's Sentiment and Trading Behavior on Excess Return: Revised Fama and French Five Factor Model

Author(s)

Nasiri Sayedeh Zahra | KAMYABI YAHYA | Issue Writer Certificate

Keywords

Fama and French Five Factor ModelQ1

Behavioral financeQ1

Investor SentimentQ1

Individual Investor Trading BehaviorQ1

Abstract

Objectives: Since the 1990s, the determination of the fair value of financial assets and whether this value depends only on fundamental factors in pricing models or is influenced by behavioral and psychological factors has always been a debatable issue. The Behavioral finance field focuses on issues and proposes asset pricing models that incorporate behavioral decision-making aspects. The purpose of this study is to investigate the simultaneous effect of the criteria of the sentiment and individual investors trading behavior on the pricing of capital assets in 77 listed firms in Tehran Stock Exchange during the period from 2009 to 2014, using combination data method. Method: For this purpose, a revised Fama and French five-factor model is created by adding sentiment and individual investors trading behavior. Results: The experimental results showed that these two factors have a significant effect on the return on the five-factor model. In a situation where all investors are not rational, decision-makers can use the investor's psychological aspects to understand how asset pricing works.

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APA: Copy

Nasiri, Sayedeh Zahra, & KAMYABI, YAHYA. (2020). Investigating the Impact of Investor's Sentiment and Trading Behavior on Excess Return: Revised Fama and French Five Factor Model. JOURNAL OF ASSET MANAGEMENT AND FINANCING, 4(4 (27) ), 97-116. SID. https://sid.ir/paper/245721/en

Vancouver: Copy

Nasiri Sayedeh Zahra, KAMYABI YAHYA. Investigating the Impact of Investor's Sentiment and Trading Behavior on Excess Return: Revised Fama and French Five Factor Model. JOURNAL OF ASSET MANAGEMENT AND FINANCING[Internet]. 2020;4(4 (27) ):97-116. Available from: https://sid.ir/paper/245721/en

IEEE: Copy

Sayedeh Zahra Nasiri, and YAHYA KAMYABI, “Investigating the Impact of Investor's Sentiment and Trading Behavior on Excess Return: Revised Fama and French Five Factor Model,” JOURNAL OF ASSET MANAGEMENT AND FINANCING, vol. 4, no. 4 (27) , pp. 97–116, 2020, [Online]. Available: https://sid.ir/paper/245721/en

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