1M. A. of Finance, Department of Business Management, Science and Research Branch, Islamic Azad University, Qazvin, Iran
2Associate Professor (PhD), Shahid Beheshti University, Faculty of Management and Accounting, Iran
3Assistant Professor (ph.d), and Faculty Member, Islamic Azad University, Qazvin Branch, Department of Accounting, Qazvin, Iran
*Corresponding Author: Hadi fayyazi, M. A. of Finance, Department of, Business Management, Science and Research Branch, Islamic Azad University, Qazvin, Iran
Online published on 4 December, 2014.
In this study, investor’ sentiment on stock returns of sorted portfolios was reviewed based on size and ratio of book to market value from 2001 to 2013. Monthly return of each portfolio was calculated based on monthly return of each firms using equal weight approach and finally, relevant coefficients were estimated using Multivariate Regression Method in the form of time series on the model. For this purpose, four-factorial model of market portfolio, size of firms, ratio of book to market value and investors’ sentiment were used in clarification of return. The results of this study indicate that there is a positive and significant relationship between investors’ sentiment with stock returns of the firms which enjoy the minimum size and ratio of book to market value.
Behavioral Finance, Investors sentiment index, Tehran Stock Exchange
