The Test of the Effect of Investor Trading Behavior and Investors` Sentiment on Excess Return in Tehran Stock Exchange

How the behavioral pattern and investors` sentiment affect excess return is one of the challenges of today behavioral financial. The finance literature shows that a large part of the excess stock returns is not easily explained by fundamental factors. The purpose of this study is to investigate the effect of investors` sentiment index and volume of stoke traded to explain stock excess returns in Tehran stock exchange. In this study, an attempt was made to use the data of 155 companies listed in Tehran Stock Exchange during the period 2011-2015. Regressions were used to examine the effect of the trading behavior of investors, investor’s sentiment on the excess return. The results show that the trading behavior of investors has effects on the value of assets (excess return) and investors` sentiment affects the value of assets

Behavioral trading strategies and investor sentiment: Empirical research in Tehran stock exchange (TSE)

In this study, we analyze contrarian and momentum strategies in periods associated with optimism or pessimism, and we compare them to the normal market sentiment condition. We evaluate the sentiment using the Arms adjusted index. Then, using the vector autoregressive test, we analyze the relationships among sentiment, stock returns, excess returns, and volatility. The results show that the formation of a short-term portfolio in one- and three-month periods of optimism and pessimism do not create additional returns and results in losses. In addition, the outcomes indicate that combining normal market sentiment with behavioral finance strategies increases performances, with more significant results seen using contrarian strategies compared to momentum strategies.</p

Behavioral trading strategies and investor sentiment: Empirical research in Tehran stock exchange (TSE)

In this study, we analyze contrarian and momentum strategies in periods associated with optimism or pessimism, and we compare them to the normal market sentiment condition. We evaluate the sentiment using the Arms adjusted index. Then, using the vector autoregressive test, we analyze the relationships among sentiment, stock returns, excess returns, and volatility. The results show that the formation of a short-term portfolio in one- and three-month periods of optimism and pessimism do not create additional returns and results in losses. In addition, the outcomes indicate that combining normal market sentiment with behavioral finance strategies increases performances, with more significant results seen using contrarian strategies compared to momentum strategies