The effect of investors sentiment and fundamental indices on Tehran Stock Exchange (TSE) Companies stock returns: A panel data approach

The main objective in this paper was to investigate the effect of fundamental ratios and investors’ sentiment index on stock returns and earnings per share (EPS) as well as the presentation of a model to express this relation. The models consisted of variables of financial ratios, and investor sentiment index as independent variables and stock returns and EPS of selected firms as dependent variables. The investor sentiment index was collected products in Tehran Stock Exchange (TSE), between 2012 and 2017 and the effect of the investor sentiment on the EPS and the expected returns of the firms was examined through the panel data regression. The results indicated that the sentiments of the investors change the EPS and affects the stock returns of selected firms in the stock exchange.

Keywords:

Financial Ratios , Investor Sentiment , Panel Data Regression