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

Articles in Press

Document Type : Original Article

Authors

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

10.22075/jem.2025.36109.1956

Abstract

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.

Keywords

Journal of Econometric Modelling

Articles in Press, Accepted Manuscript
Available Online from 19 February 2025

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