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نقش احساسات در تصمیم‌گیری سرمایه‌گذاران و تأثیر آن بر بازده سهام در شرکتها و صنایع مختلف | ||
| مدلسازی اقتصادسنجی | ||
| مقاله 1، دوره 10، شماره 1 - شماره پیاپی 37، اردیبهشت 1404، صفحه 9-38 اصل مقاله (1.03 M) | ||
| نوع مقاله: مقاله پژوهشی | ||
| شناسه دیجیتال (DOI): 10.22075/jem.2025.36109.1956 | ||
| نویسندگان | ||
| محمد انصاری1؛ الهام نوبهار* 2؛ رضا رنجپور3 | ||
| 1کارشناس ارشد اقتصاد، دانشکده اقتصاد و مدیریت، دانشگاه تبریز، تبریز، ایران | ||
| 2دانشیار اقتصاد، دانشکده اقتصاد و مدیریت، دانشگاه تبریز، تبریز، ایران | ||
| 3استاد اقتصاد، دانشکده اقتصاد و مدیریت، دانشگاه تبریز، تبریز، ایران | ||
| تاریخ دریافت: 11 آذر 1403، تاریخ بازنگری: 29 بهمن 1403، تاریخ پذیرش: 01 اسفند 1403 | ||
| 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 | ||
| شاخص احساسات؛ بازده سهام؛ صنایع؛ رگرسیون پانل کوانتایل | ||
| 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 Ansari1؛ Elham Nobahar2؛ Reza Ranjpour3 | ||
| 1MSc. in Economics, Faculty of Economics and Management, University of Tabriz, Tabriz, Iran | ||
| 2Associate Professor of Economics, Faculty of Economics and Management, University of Tabriz, Tabriz, Iran. | ||
| 3Professor 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 | ||
| مراجع | ||
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