Tail risk on stock market: The role of market sentiment

Subject Areas : HSE Management

Azad  Asadi ¹ (PhD student, Accounting Department, Kish International Unit, Islamic Azad University, Kish Island, Iran)
mohsen  Hashemi Gohar ² (Department of Accounting, Sahr-e-Ghods Branch, Islamic Azad University, Tehran, Iran.)
Roya  Darabi ³ (Associate Professor, Department of Accounting, South Tehran Branch, Islamic Azad University, Tehran, Iran)
Shadi  Shahverdiani ⁴ (Assistant Professor, Department of Accounting, Shahr Quds Branch, Islamic Azad University, Tehran, Iran)

Received: 2022-05-09 Accepted : 2023-01-10 Published : 2023-02-20

Keywords: Stock market, market sentiment, tail Risk,

Abstract :

One of the determinants of companies' stock returns is knowing the level of risk of companies. Existing risks play an important role in investors' financial decisions in terms of influencing market sentiments by influencing the company's profitability and returns. The importance of this research is that it shows students, professors, investors, company managers and capital market legislators what is the role of the factor of investors' emotional tendency in stock valuation.This study examines co-morbid risk variables when we use multiple regression to predict the risk return of severe events that change over time at different points in the stock return distribution. We find evidence that there is a strong predictive power in the lower echelons to predict a maximum of one year horizons. Our research results show that in higher quantities there is no relationship between comet risk and stock market surplus returns. In general, the evidence obtained explains the mere large, unusually large stocks observed during periods of sharp stock price falls that are pessimistic market sentiment.