ﮔﺮاﯾﺶ اﺣﺴﺎﺳﯽ ﺳﺮﻣﺎﯾﻪﮔﺬار، ﻧﻮﺳﺎن ﭘﺬﯾﺮي ﻏﯿﺮﺳﯿﺴﺘﻤﺎﺗﯿﮏ و ﻗﯿﻤﺖﮔﺬاري ﻧﺎدرﺳﺖ ﺳﻬﺎم در ﺷﺮﮐﺖﻫﺎي ﭘﺬﯾﺮﻓﺘﻪﺷﺪه در ﺑﻮرس اوراق ﺑﻬﺎدار ﺗﻬﺮان

The Relationship between Investor Sentiment and Idiosyncratic Risk with Stock Mispricing: Evidence from Tehran Stock Exchange

ﻫﺪف از ﭘﮋوﻫﺶ ﺣﺎﺿﺮ، ﺑﺮرﺳﯽ ﺗﺄﺛﯿﺮ ﮔﺮاﯾﺶ اﺣﺴﺎﺳﯽ ﺳﺮﻣﺎﯾﻪﮔﺬار و ﻧﻮﺳﺎن ﭘﺬﯾﺮي ﻏﯿﺮﺳﯿﺴﺘﻤﺎﺗﯿﮏ ﺑﺮ ﻗﯿﻤﺖﮔﺬاري ﻧﺎدرﺳﺖ ﺳﻬﺎم در ﺷﺮﮐﺖﻫﺎي ﭘﺬﯾﺮﻓﺘﻪﺷﺪه در ﺑﻮرس اوراق ﺑﻬﺎدار ﺗﻬﺮان ﻣﯽﺑﺎﺷﺪ. ﺑﺪﯾﻦ ﻣﻨﻈﻮر ﺟﻬﺖ اﻧﺪازهﮔﯿﺮي ﻗﯿﻤﺖﮔﺬاري ﻧﺎدرﺳﺖ ﺳﻬﺎم از ﻣﺪل رودز و ﻫﻤﮑﺎران )2005( و ﺑﺮاي اﻧﺪازهﮔﯿﺮي ﮔﺮاﯾﺶ اﺣﺴﺎﺳﯽ ﺳﺮﻣﺎﯾﻪﮔﺬار و ﻧﻮﺳﺎن ﭘﺬﯾﺮي ﻏﯿﺮﺳﯿﺴﺘﻤﺎﺗﯿﮏ ﺑﻪ ﺗﺮﺗﯿﺐ از ﺷﺎﺧﺺ ﺟﻮﻧﺰ )EMSI( و اﻧﺤﺮاف ﻣﻌﯿﺎر ﺑﺎﻗﯿﻤﺎﻧﺪه رﮔﺮﺳﯿﻮن )CAPM( اﺳﺘﻔﺎدهﺷﺪه اﺳﺖ. ﺑﺮاي آزﻣﻮن ﻓﺮﺿﯿﻪﻫﺎي ﭘﮋوﻫﺶ از اﻃﻼﻋﺎت 106 ﺷﺮﮐﺖ ﭘﺬﯾﺮﻓﺘﻪﺷﺪه در ﺑﻮرس اوراق ﺑﻬﺎدار ﺗﻬﺮان ﻃﯽ دوره زﻣﺎﻧﯽ 1396-1387 )1060 ﺳﺎل-ﺷﺮﮐﺖ( اﺳﺘﻔﺎدهﺷﺪه اﺳﺖ و ﺑﺮاي ﺗﺠﺰﯾﻪوﺗﺤﻠﯿﻞ آنﻫﺎ و آزﻣﻮن ﻓﺮﺿﯿﻪﻫﺎ، اﻟﮕﻮي رﮔﺮﺳﯿﻮن ﺧﻄﯽ ﭼﻨﺪﮔﺎﻧﻪ ﻣﻮرداﺳﺘﻔﺎده ﻗﺮارﮔﺮﻓﺘﻪ اﺳﺖ. ﺷﻮاﻫﺪ و ﻧﺘﺎﯾﺞ ﺗﺠﺮﺑﯽ ﭘﮋوﻫﺶ ﺣﺎﮐﯽ از آن اﺳﺖ ﮐﻪ ﻫﺮ دو ﻣﺘﻐﯿﺮ ﮔﺮاﯾﺶ اﺣﺴﺎﺳﯽ ﺳﺮﻣﺎﯾﻪﮔﺬار و ﻧﻮﺳﺎن ﭘﺬﯾﺮي ﻏﯿﺮﺳﯿﺴﺘﻤﺎﺗﯿﮏ داراي اﺛﺮ ﻣﺜﺒﺖ و ﻣﻌﻨﺎدار ﺑﺮ روي ﻗﯿﻤﺖﮔﺬاري ﻧﺎدرﺳﺖ ﺳﻬﺎم ﻫﺴﺘﻨﺪ. ﺑﻪ اﯾﻦ ﻣﻌﻨﯽ ﮐﻪ ﺑﺎ اﻓﺰاﯾﺶ ﮔﺮاﯾﺶ اﺣﺴﺎﺳﯽ ﺳﺮﻣﺎﯾﻪﮔﺬار و ﻧﻮﺳﺎنﭘﺬﯾﺮي ﻏﯿﺮﺳﯿﺴﺘﻤﺎﺗﯿﮏ، ﻗﯿﻤﺖﮔﺬاري ﻧﺎدرﺳﺖ ﺳﻬﺎم ﻧﯿﺰ اﻓﺰاﯾﺶ ﻣﯽﯾﺎﺑﺪ و ﺑﺎﻟﻌﮑﺲ. ﻫﻤﭽﻨﯿﻦ ﻧﻘﺶ ﺗﻌﺪﯾﻞ ﮔﺮ ﮔﺮاﯾﺶ اﺣﺴﺎﺳﯽ ﺳﺮﻣﺎﯾﻪﮔﺬار ﺑﺮ ارﺗﺒﺎط ﺑﯿﻦ ﻧﻮﺳﺎﻧﺎت ﻏﯿﺮﺳﯿﺴﺘﻤﺎﺗﯿﮏ و ﻗﯿﻤﺖﮔﺬاري ﻧﺎدرﺳﺖ ﺳﻬﺎم ﻧﯿﺰ داراي اﺛﺮ ﻣﺜﺒﺖ و ﻣﻌﻨﺎدار اﺳﺖ.

The main objective of this study was to investigate the effect of investor sentiment and idiosyncratic risk on stock market mispricing in listed companies in Tehran Stock Exchange. In order to measure the miss- pricing􀀁 based􀀁 on􀀁 Rhodes􀀁 et􀀁 al.’s􀀁 Model􀀁 (2005),􀀁 the􀀁 investor􀀁 sentiment􀀁 and􀀁 Idiosyncratic risk, the Jones Index (EMSI) and the remaining standard deviation of regression (CAPM) were used respectively. In order to test the research hypotheses, the information of 106 companies accepted in the Tehran Stock Exchange during the period of 2008-2017 (1060 years-corporation) has been used. The required data were selected monthly and annually using the screening method. In order to test hypotheses, multiple linear regression models were used. Evidence and empirical results of the research indicated that both variables, namely, investor sentiment and idiosyncratic risk have a positive and significant effect on mispricing stock markets. In fact, any increase in investor sentiment and idiosyncratic risk would give rise to the stock mispricing increase, and vice versa. Notably, moderating variable, namely the investor sentiment enjoyed a positive and significant on the relationship between idiosyncratic risk and mispricing.