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
چکیده
کلیدواژهها
عنوان مقاله [English]
نویسندگان [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]