Effects of Investor Sentiment on Excess Return in Fama-French Five-Factor Model

Objective: This study examined the effects of investor sentiment index on excess return in the Fama-French five-factor model, in the companies listed in the Tehran Stock Exchange in the period 2009 to 2015. Methods: Data collection was based on document mining and referral to databases, and data ana...

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Autores principales:	Yahya Kamyabi (Ph.D), Seyedeh Zahra Nasiri
Formato:	article
Lenguaje:	FA
Publicado:	Shahid Bahonar University of Kerman 2019
Materias:	fama and french five-factor model investor sentiment stock excess return behavioral finance Accounting. Bookkeeping HF5601-5689
Acceso en línea:	https://doaj.org/article/a27b5c006c994fdab01533ced9b2f495
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spelling	oai:doaj.org-article:a27b5c006c994fdab01533ced9b2f4952021-11-04T19:54:23ZEffects of Investor Sentiment on Excess Return in Fama-French Five-Factor Model2008-89142476-292X10.22103/jak.2018.11841.2646https://doaj.org/article/a27b5c006c994fdab01533ced9b2f4952019-02-01T00:00:00Zhttps://jak.uk.ac.ir/article_2180_71dc47ca8601dbd20472e5fe29c5d158.pdfhttps://doaj.org/toc/2008-8914https://doaj.org/toc/2476-292XObjective: This study examined the effects of investor sentiment index on excess return in the Fama-French five-factor model, in the companies listed in the Tehran Stock Exchange in the period 2009 to 2015. Methods: Data collection was based on document mining and referral to databases, and data analysis was performed using inference method and Stata and Eviews software. To test the research hypotheses a Panel data model was used. Results: The results showed that the investor sentiment index plays an important role in capital assets pricing, and supports this role of the index in creating excess return and price formation. Conclusion: Attention to the factors such as investor sentiment, besides the fundamental factors, can have significant effect on the decisions of investors and other users, regarding challenges of the efficient markets hypothesis.Yahya Kamyabi (Ph.D)Seyedeh Zahra NasiriShahid Bahonar University of Kermanarticlefama and french five-factor modelinvestor sentimentstock excess returnbehavioral financeAccounting. BookkeepingHF5601-5689FAمجله دانش حسابداری, Vol 9, Iss 4, Pp 71-103 (2019)
institution	DOAJ
collection	DOAJ
language	FA
topic	fama and french five-factor model investor sentiment stock excess return behavioral finance Accounting. Bookkeeping HF5601-5689
spellingShingle	fama and french five-factor model investor sentiment stock excess return behavioral finance Accounting. Bookkeeping HF5601-5689 Yahya Kamyabi (Ph.D) Seyedeh Zahra Nasiri Effects of Investor Sentiment on Excess Return in Fama-French Five-Factor Model
description	Objective: This study examined the effects of investor sentiment index on excess return in the Fama-French five-factor model, in the companies listed in the Tehran Stock Exchange in the period 2009 to 2015. Methods: Data collection was based on document mining and referral to databases, and data analysis was performed using inference method and Stata and Eviews software. To test the research hypotheses a Panel data model was used. Results: The results showed that the investor sentiment index plays an important role in capital assets pricing, and supports this role of the index in creating excess return and price formation. Conclusion: Attention to the factors such as investor sentiment, besides the fundamental factors, can have significant effect on the decisions of investors and other users, regarding challenges of the efficient markets hypothesis.
format	article
author	Yahya Kamyabi (Ph.D) Seyedeh Zahra Nasiri
author_facet	Yahya Kamyabi (Ph.D) Seyedeh Zahra Nasiri
author_sort	Yahya Kamyabi (Ph.D)
title	Effects of Investor Sentiment on Excess Return in Fama-French Five-Factor Model
title_short	Effects of Investor Sentiment on Excess Return in Fama-French Five-Factor Model
title_full	Effects of Investor Sentiment on Excess Return in Fama-French Five-Factor Model
title_fullStr	Effects of Investor Sentiment on Excess Return in Fama-French Five-Factor Model
title_full_unstemmed	Effects of Investor Sentiment on Excess Return in Fama-French Five-Factor Model
title_sort	effects of investor sentiment on excess return in fama-french five-factor model
publisher	Shahid Bahonar University of Kerman
publishDate	2019
url	https://doaj.org/article/a27b5c006c994fdab01533ced9b2f495
work_keys_str_mv	AT yahyakamyabiphd effectsofinvestorsentimentonexcessreturninfamafrenchfivefactormodel AT seyedehzahranasiri effectsofinvestorsentimentonexcessreturninfamafrenchfivefactormodel
_version_	1718444609814659072

Effects of Investor Sentiment on Excess Return in Fama-French Five-Factor Model

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