Investigating the relationship between investors' sentiments and excess returns in companies listed on the Tehran Stock Exchange

Subject Areas : Journal of Capital Market Analysis

Ali Habibi ¹ , Saber Habibi savad kohi ²

1 - Faculty of Islamic Azad University
2 - department of low, East Tehran Branch, Islamic Azad University, Tehran, Iran

Received: 2022-12-27 Accepted : 2023-06-07 Published : 2023-05-22

Keywords: Investors' sentiments, excess returns, companies listed In Tehran Stock Exchange,

Abstract :

The purpose of this research was to examine the relationship between investor sentiments and excess returns in companies listed on the Tehran Stock Exchange. The geographical area of this research was the companies accepted in the Tehran Stock Exchange and the time area was the years between 2014 and 2019. The current research is in the category of applied research, if the classification of types of research based on nature and method is considered, the current research method is in the category of descriptive research in terms of nature, and in terms of method, it is considered in the category of cause and effect research. In this research, the library method was used to collect data and information. In the data section, the research was done by collecting the data of the sample companies by referring to the financial statements, explanatory notes and the stock exchange monthly. Based on the systematic elimination method, 107 companies were selected as a statistical sample. Multivariate regression test was used to confirm and reject the research hypotheses (Eviews software). The summary of the research results showed that there is a significant relationship between investors' sentiments and excess returns in companies listed on the Tehran Stock Exchange.