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The role of behavioral tendencies (sentiment) of investors in valuation of the company | ||
| مجله دانش حسابداری | ||
| Article 1, Volume 8, Issue 4 - Serial Number 31, February 2018, Pages 7-35 PDF (823.46 K) | ||
| Document Type: Research Paper | ||
| DOI: 10.22103/jak.2017.10630.2454 | ||
| Authors | ||
| Behzad Kardan1; Mohammad Hossein Vadeei2; Mohammad Hossein ZolfagharArani* 3 | ||
| 1Assistant Professor of Accounting, Ferdowsi University of Mashhad,, Mashhad, Iran. | ||
| 2Associate Professor of Accounting, Faculty of Administrative and Economic science, Ferdowsi University of Mashhad, Iran. | ||
| 3Ph.D. Student of Accounting, Ferdowsi University of Mashhad,, Mashhad, Iran. | ||
| Abstract | ||
| The purpose of this article is to examine the impact of sentiments and behavioral tendencies of investors on pricing of capital assets. For this purpose, the adjusted three-factor model of Fama and French has been used based on the evaluation criteria for emotions of the investor. This study has been done based on the information released by listed companies in Tehran Stock Exchange, in the period between 1389 and 1394, with the selected sample consisting of 141 companies. Results of testing hypothesis show an increase in the explanatory factor of pricing model of capital assets as well as each of its components by adding emotion indexes. Investor emotions indices used in this study includes financial turnover of shares in the market, ratio of days with uptrend to days with downtrend of the stock price and the ratio of spending stock dividend profit. The first and second indicators of investor emotions has a positive and significant relationship with the returns of stock portfolios and regarding the third index, no significant relationship was observed in the model; while, positive emotions compared to negative emotions have a distinct impact on asset pricing. Also, the first and second indicators of emotions impact the market factor of Fama and French model, all three indicators of emotions impact the factor of size of the company in Fama and French model and also the second and third indicators of emotions impact the factor of ratio of book value to market value of Fama and French model. | ||
| Keywords | ||
| investor’s emotions; stock pricing; stock turnover; Fama and French model | ||
| References | ||
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Khodamipour, A., Bagheri Masoudzadeh, R. (2017). Strategy review of impression management of stakeholders by disclosure of annual reports. Journal of Accounting Knowledge, 8(1), 51-74 [In Persian]. Bayat, M., Ghaderi, N. (2016). Reference prices and the effects of mental accounting on investment performance. Accounting Knowledge and Auditing Management, 19(5), 89-104 [In Persian].
Ansari, A., Khorshidi, A., Shirzad, A. (2014). The investigation effect of accruals-based earnings management and real earnings management on stock liquidity and firm value. Accounting Knowledge and Auditing Management, 11(3), 41-54 [In Persian]. | ||
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