The Relationship between Investor Sentiment and Idiosyncratic Risk with Stock Mispricing: Evidence from Tehran Stock Exchange

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Nikoo Hanieh; EBRAHIMI SEYED KAZEM; JALALI FATEMEH

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Journal: JOURNAL OF FINANCIAL MANAGEMENT STRATEGY Year:2020 | Volume:8 | Issue:28 Page(s): 65-85

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Title

The Relationship between Investor Sentiment and Idiosyncratic Risk with Stock Mispricing: Evidence from Tehran Stock Exchange

Author(s)

Nikoo Hanieh | EBRAHIMI SEYED KAZEM | JALALI FATEMEH | Issue Writer Certificate

Keywords

Investor SentimentQ1

Idiosyncratic RiskQ1

MispricingQ1

Tehran Stock ExchangeQ2

Abstract

The main objective of this study was to investigate the effect of Investor Sentiment and Idiosyncratic Risk on stock market Mispricing in listed companies in Tehran Stock Exchange. In order to measure the miss-pricing􀀂 based􀀆 on􀀆 Rhodes􀀆 et􀀆 al. ’ s􀀆 Model􀀆 (2005), 􀀆 the􀀆 investor􀀆 sentiment􀀆 and􀀆 Idiosyncratic Risk, the Jones Index (EMSI) and the remaining standard deviation of regression (CAPM) were used respectively. In order to test the research hypotheses, the information of 106 companies accepted in the Tehran Stock Exchange during the period of 2008-2017 (1060 years-corporation) has been used. The required data were selected monthly and annually using the screening method. In order to test hypotheses, multiple linear regression models were used. Evidence and empirical results of the research indicated that both variables, namely, Investor Sentiment and Idiosyncratic Risk have a positive and significant effect on Mispricing stock markets. In fact, any increase in Investor Sentiment and Idiosyncratic Risk would give rise to the stock Mispricing increase, and vice versa. Notably, moderating variable, namely the Investor Sentiment enjoyed a positive and significant on the relationship between Idiosyncratic Risk and Mispricing.

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APA: Copy

Nikoo, Hanieh, EBRAHIMI, SEYED KAZEM, & JALALI, FATEMEH. (2020). The Relationship between Investor Sentiment and Idiosyncratic Risk with Stock Mispricing: Evidence from Tehran Stock Exchange. JOURNAL OF FINANCIAL MANAGEMENT STRATEGY, 8(28 ), 65-85. SID. https://sid.ir/paper/386288/en

Vancouver: Copy

Nikoo Hanieh, EBRAHIMI SEYED KAZEM, JALALI FATEMEH. The Relationship between Investor Sentiment and Idiosyncratic Risk with Stock Mispricing: Evidence from Tehran Stock Exchange. JOURNAL OF FINANCIAL MANAGEMENT STRATEGY[Internet]. 2020;8(28 ):65-85. Available from: https://sid.ir/paper/386288/en

IEEE: Copy

Hanieh Nikoo, SEYED KAZEM EBRAHIMI, and FATEMEH JALALI, “The Relationship between Investor Sentiment and Idiosyncratic Risk with Stock Mispricing: Evidence from Tehran Stock Exchange,” JOURNAL OF FINANCIAL MANAGEMENT STRATEGY, vol. 8, no. 28 , pp. 65–85, 2020, [Online]. Available: https://sid.ir/paper/386288/en

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