نقش احساسات در تصمیم‌گیری‌ سرمایه‌گذاران و تأثیر آن بر بازده سهام در شرکت‌ها و صنایع مختلف

نوع مقاله : مقاله پژوهشی

نویسندگان

1 کارشناس ارشد اقتصاد، دانشکده اقتصاد و مدیریت، دانشگاه تبریز، تبریز، ایران

2 دانشیار اقتصاد، دانشکده اقتصاد و مدیریت، دانشگاه تبریز، تبریز، ایران

3 استاد اقتصاد، دانشکده اقتصاد و مدیریت، دانشگاه تبریز، تبریز، ایران

10.22075/jem.2025.36109.1956

چکیده

پژوهش حاضر به بررسی تأثیر احساسات سرمایه‌گذاران بر بازده سهام، به تفکیک ویژگی­های‌ شرکت‌ها و صنایع، با استفاده از رهیافت رگرسیون پانل کوانتایل می‌پردازد. در این مطالعه، از بین شرکت‌های فعال در بورس اوراق بهادار تهران، 175 شرکت با استفاده از غربالگری و حذف سیستماتیک انتخاب شد و داده­های مربوط به این شرکت­ها به صورت ماهانه از ابتدای سال 1398 تا پایان شش ماهه اول سال 1402 مورد بررسی قرار گرفت. بررسی تأثیر احساسات بر اساس ویژگی شرکت­ها نشان می­دهد که در شرکت‌های کوچک‌تر (با ارزش بازاری کمتر)، شرکت­ها با نسبت ارزش دفتری به بازاری کوچک‌تر و شرکت­ها با ضریب بتای بزرگ‌تر، بازده سهام به میزان بیشتری تحت تأثیر احساسات سرمایه‌گذاران قرار می‌گیرد. از دیگر نتایج حاصل از این مطالعه می­توان به تفاوت در شدت تأثیرگذاری احساسات سرمایه‌گذاران بر بازده سهام در صنایع مختلف اشاره کرد. مطابق نتایج، صنعت خودرو بیشترین و صنعت محصولات شیمیایی کم‌ترین تأثیرپذیری را از شاخص احساسات دارند.

کلیدواژه‌ها

عنوان مقاله [English]

The Role of Investor Sentiment in Decision Making and its Impact on Stock Returns in Different Companies and Industries

نویسندگان [English]

  • Mohammad Ansari 1
  • Elham Nobahar 2
  • Reza Ranjpour 3
1 MSc. in Economics, Faculty of Economics and Management, University of Tabriz, Tabriz, Iran
2 Associate Professor of Economics, Faculty of Economics and Management, University of Tabriz, Tabriz, Iran.
3 Professor of Economics, Faculty of Economics and Management, University of Tabriz, Tabriz, Iran
چکیده [English]

This study examines the impact of investors' sentiment on stock returns in different companies and industries using the panel quantile regression approach. In this study, 175 companies listed on the Tehran Stock Exchange were selected through systematic screening and elimination, and data related to these companies were analyzed on a monthly basis from the beginning of 2019 until the end of the first half of 2023. Analyzing the impact of sentiment based on company characteristics reveals that in smaller companies (with lower market value), companies with lower book-to-market ratios, and companies with higher beta coefficients, stock returns are more strongly influenced by investor sentiment. Another key finding of this study is the variation in the intensity of the impact of investor sentiment on stock returns across different industries. According to the results, the automotive industry is the most affected by sentiment, while the chemical industry is the least influenced by sentiment.

کلیدواژه‌ها [English]

  • Sentiment Index
  • Stock Returns
  • Industries
  • Panel Quantile Regression

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