Explaining the Role of Investors' Sentiment in Capital Asset Pricing
Subject Areas : Journal of Investment Knowledge
Ali
Kiamehr
1
(phD of Student, Department of Accounting, Boroujerd Branch, Islamic Azad University, Boroujerd Iran)
Mohammad Hassan
Janani
2
(Asisstant of Prof. Department of Accounting, Boroujerd Branch, Islamic Azad University, Boroujerd Iran)
Mahmoud
Hemmatfar
3
(Associat of Prof. Department of Accounting, Boroujerd Branch, Islamic Azad University, Boroujerd Iran)
Keywords: Capital Asset Pricing, investors' emotional tendencies, Fama and French Three-Factor Model (2001), Kahart Four-Factor Model, Portfolio Risk Spending,
Abstract :
The purpose of this study was to explain the role of investors' emotional tendencies in pricing the capital assets of companies listed on the Tehran Stock Exchange. For this purpose, information of 150 companies from the financial reports of companies listed on the Tehran Stock Exchange have been collected and tested. Findings show that in all three capital asset pricing models (Fama and French three-factor model, (2001) Kahrat four-factor model and Fama and French five-factor model, (2014) investors' emotional tendencies in price The investment of capital assets has an effect and increases the sheer risk of the portfolio.The results also show that in all three pricing models, presenting a capital asset pricing model based on investors' emotional tendencies increases the predictive power of common capital asset pricing models.
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