The Impact of Individual Sentiment Beta on Stock Return of Companies Listed on Tehran Stock Exchange

Subject Areas : Financial and Behavioral Researches in Accounting

amir hossein sharifmehr ¹ (Msc Department of accounting, Najafabad branch, Islamic azad university, Najafabad, Iran)
karim Azarbaijani ² (Prossefor of Economics, Faculty of Administrative science and Economic, University of Isfahan, Isfahan, Iran)
Arezoo Aghaei chadegani ³ (Department of Accounting, Najafabad Branch, Islamic Azad University, Najafabad, Iran)

Received: 2022-04-09 Accepted : 2022-06-25 Published : 2022-08-23

Keywords: CAPM Alpha, individual stock sentiment beta, Stock Return, Tehran Stock Exchange,

Abstract :

Individual stock sentiment is one of the non-fundamental factors that affect the financial markets which is influenced by various factors. Individual stock sentiment beta is a new concept and is defined as the sensitivity of individual stock returns to the individual stock sentiment changes. Due to the fact that Tehran stock exchange operate at a weak level of effiecency; this research purpuses to investigate the impact of individual sentiment beta on stock excess return and capital asset pricing model (CAPM) alpha in Tehran stock exchange. In this regard research data for top 50 companies of Tehran stock exchange at period from October 2019 to February 2021 which include biggest rise and fall in history of Tehran stock exchange was extracted through Rahavad Novin Software. Then excess return of 50 stock at research period time was calculated by Ami broker software, and finally all of data was analyzed by Eviews software.Finally the results showed that stocks with higher individual sentiment beta have higher excess return and CAPM alpha.