تأثیر تمایلات سرمایه‌گذار بر بازدۀ مازاد در الگوی پنج‌عاملی فاما و فرنچ

بابالویان، شهرام؛ مظفری، مهردخت. (1395). مقایسه قدرت پیش بینی الگو پنج عاملی فاما و فرنچ با الگوهای چهار عاملی کارهارت و q عاملی HXZ در تبین بازدۀ سهام. دانش مالی تحلیل اوراق بهادار، 9(30)، 32-17.

حیدرپور، فرزانه؛ تاری وردی، یدالله؛ محرابی، مریم. (1392). تأثیر گرایش‌های احساسی سرمایه‌گذاران بر بازدۀ سهام. دانشمالیتحلیلاوراقبهادار، 6(17)، 13-1.

رمضانی، جواد؛ کامیابی، یحیی. (1396). مقایسۀ الگو شش عاملی با الگو‌های قیمت‌گذاری دارایی سرمایه ایی در تبیین بازدۀ مورد انتظار سرمایه گذار. پژوهش‌های اقتصادی ایران، 22(70)، 231-207.

ستایش، محمدحسین؛ شمس‌الدینی، کاظم. (1395). بررسی رابطۀ بین گرایش احساسی سرمایه‌گذاران و قیمت سهام شرکت‌های پذیرفته شده در بورس اوراق بهادار تهران. پیشرفت‌های حسابداری، 8(1)، 125-103.

سرلک،کبری؛ علیپور درویش، زهرا؛ وکیلی‌فرد، حمیدرضا. (1391). تأثیر تصمیم‌گیری احساسی سرمایه‌گذاران و متغیرهای تکنیک بنیادی بر بازدۀ سهام در بورس اوراق بهادار تهران. دانش مالی تحلیل اوراق بهادار، (16)، 12-1.

شعری آناقیز، صابر؛ حساس یگانه، یحیی؛ سدیدی، مهدی؛ نره‌ئی، بنیامین. (1395). تصمیم‌گیری احساسی سرمایه‌گذاران، حاکمیت شرکتی و کارایی سرمایه‌گذاری. حسابداری مالی، 8(32)، 37-1.

کاردان، بهزاد؛ ودیعی، محمدحسین؛ ذوالفقار آرانی، محمدحسین. (1396). نقش تمایلات رفتاری (احساسات و هیجانات) سرمایه‌گذاران در ارزش گذاری شرکت. دانش حسابداری، 8(4)، 35-7.

نیکومرام، هاشم؛ سعیدی، علی. (1387). اندازه‌گیری عکس‌العمل رفتاری سرمایه‌گذاران در بازار سهام. جستارهای اقتصادی 5(9)، 276-237.

References

Babalooyan, S., Mozaffari, M. (2016). To compare the explanatory power of the five-factor fama french model with carhart and q-factor models: Evidences from Tehran Stock Exchange. Financial Knowledge of Securities Analysis, 9(30), 17-32 [In Persian].

Baker, M., Stein, J.C. (2004). Market liquidity as a sentiment indicator. Journal of Financial Markets, 7(3), 271-299.

Baker, M., Wurgler, J. (2006). Investor sentiment and the cross section of stock returns. The Journal of Finance, 61(4), 1645-1680.

Baker, M., Wurgler, J.A. (2007). Investor sentiment in the stock market. Journal of Economic Perspectives, 21(2), 129-151.

Ben-Rephael, A., Kandel A., Wohl A. (2012). Measuring investor sentiment with mutual fund flows. Journal of financial Economics, 104, 363-382.

Brown, G.W., Cliff, M.T. (2004). Investor sentiment and the near-term stock market. Journal of Empirical Finance, 11(1), 1-27.

Campbell, J.Y., Kyle, A.S. (1993). Smart money, noise trading and stock price behavior. The Review of Economic Studies, 60(1), 1-34.

Changsheng, H., Yongfeng, W. (2012). Investor sentiment and assets valuation. Systems Engineering Procedia, 3, 166-171. Chen, H., Chong, T.T.L., Duan, X. (2010). A principal-component approach to measuring investor sentiment. Quantitative Finance, 10(4), 339-347.

 Chiah, M., Daniel, C., Zhong, A. (2015). A better model? An empirical investigation of the fama-french five-factor model in Australia. Journal of Finance, 58, 65-91.

Coelho, F.J.M. (2015). The impact of investor sentiment in the Swiss stock market. Master Thesis University of Minho, Portugal.

DeLong, B., Shleifer, A., Summers,L. H., Waldmann, R.J. (1990). Noise trader risk in financial market. Journal of Political Economy, 90, 703-738.

Dhaoui, A., Bensalah, N. (2016). Asset valuation impact of investor sentiment: A revised fama-french five factor model. Journal of Asset Management, Palgrave Macmillan, 18(1), 16-28.

Egan, D., Merkle, C., Weber, M. (2010). The beliefs of others - naive realism and investment decisions. Working Paper, SSRN: 10.2139/ssrn.1571238.

Fama E.F. (1970). Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25(2), 383-417.

Fama, E.F., French, K.R. (1992). The cross-section of expected stock returns. The Journal of Finance, 47 (2), 427-465.

Fama, E.F., French, K.R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3-56.

Fama, E., French, K., (2015). A five-factor asset pricing model. Journal of Financial Economics, 116, 1-22.

Heyderpur, F., Tariverdi, Y., Mehrabi, M. (2013). Effect of sentimental tendency on stock returns. Journal of Financial Knowledge Analysis of Securities, 6 (17), 1-13 [In Persian].

Johnson, R.A., Wichern, D.W. (2002). Applied Multivariate Statistical Analysis. Prentice Hall, New Jersey.

Kardan, B., Vadeei, M.H., ZolfagharArani, M.H. (2018). The role of behavioral tendencies (sentiment) of investors in valuation of the company. Journal of Accounting Knowledge, 8(4), 7-35 [In Persian].

Kaplanski, G., Levy, H. (2010). Sentiment and stock prices: The case of aviation disasters. Journal of Financial Economics,95,174-201.

Kim, T., Ha, A. (2010). Investor sentiment and market anomalies. Working Paper.

Kumar, A., Lee, C. (2006). Retail investor sentiment and return comovements. The Journal of Finance,61(5), 2451-2486.

Lemmon, M., Portniaguina, E. (2006). Consumer confidence and asset prices: Some empirical evidence. Review of Financial Studies 19, 1499-1529.

Liao, T., Huang, C., Wu, C. (2011). do fund managers herd to counter investor sentiment? Journal of Business Research, 64(2), 207-212.

Lintner, J. (1965). Security prices, risk, and maximal gains from diversification. Journal of Finance, 20(4), 587-615.

Maxim, C.A. (2015). The evaluation of CAPM, Fama- French and APT models on the Romanian capital market. Applied Financial Research, 1-10.

Nicomaram, H., Saeedi, A. (2008). Measure investor behavior reaction in the stock market. Journal of Economic Queries 9, 272-276 [In Persian].

Novy-Marx, R., (2013). The other side of value: The gross profitability premium. Journal of Financial Economics 108, 1-28.

Ramezani, J., Kamyabi,Y. (2017). Comparing the six-factor model with capital asset pricing models in explaining the expected investor returns. Economic Research, 22 (70), 207-231[In Persian].

Sarlak, K., Alipour Dervish, Z., Vakilifard, H.R. (2012). The impact of sentimental decision investors and fundamental variables techniques on stock returns in tehran stock exchange. Financial Knowledge of Securities Analysis, 16, 1-12 [In Persian].

Setayesh, M.H., Shamsedini, K. (2016). An investigation of the relationship between investor sentiment and price stocks in Tehran Stock Exchange (TSE). Journal of Accounting Advances, 8(1), 103-125 [In Persian].

Sharpe, W.J. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance, 19(3), 425-442.

Shefrin, H. (2010). Behaviorizing finance. Foundations and Trends in Finance, 4(1-2), 1-184.

Shiller, R.J. (1981). The use of volatility measures in assessing market efficiency. NBER Working Paper, 565.

Shiller, R.J. (2003). From efficient markets theory to behavioral finance. Journal of Economic Perspectives, 17, 83-104.

Saberi Sheri, A.,  Hasasyeganeh, Y., Sadidi, M., Narrei, B. (2017). Sentimental decision-making of investors, corporate governance and investment efficiency. Quarterly Financial Accounting Journal, 8(32), 1-37 [In Persian].

Titman, S., Wei, K., Xie, F., (2004). Capital investments and stock returns. Journal of Financial and Quantitative Analysis, 39, 677-700.

Xu, Y., Green, C.J. (2012). Asset pricing with investor sentiment: evidence from chinese stock markets. the Manchester School, 81,1-32.

Yang, C., Zhang, R. (2014). Does mixed-frequency investor sentiment impact stock returns? Based on the empirical study of MIDAS regression model. Applied Economics, 46(9), 966-972.

Yang, C., Zhou, L. (2015). Investor trading behavior, investor sentiment and asset prices. The North American Journal of Economics and Finance, 34, 42-62.

Yang, Ch., Gao, B. (2014). The term structure of sentiment effect in stock index futures market. Journal of Economics and Finance, 30, 171-182.