Document Type : Research Paper
Abstract
Purpose: The purpose of this research is to investigate the influence of the investor sentiment in the stock mispricing in the companies admitted to the Tehran Stock Exchange.
Methods: To achieve the objective of the research, the number of 129 companies admitted to the Tehran Stock Exchange for the period of 2007 to 2023 was selected and the method for testing the hypotheses was a multiple regression model in a composite data set and a neural network data mining model (as a supplementary method).
Results: The results of the research show that the investor sentiment had a significant effect on the stock mispricing this year. Also, the investor sentiment in a certain year only had an effect on the stock mispricing in the same year and did not have an effect on the stock mispricing in the following years. The findings obtained from the neural network data mining method have also confirmed the results obtained from the regression model of the research. In addition, the variables of company age, market value ratio, company size and stock return risk, respectively, had the greatest impact on the mispricing of stocks.
Conclusion: The overall findings indicate that various measures of stock mispricing are significantly affected by investor sentiment. The results of the neural network data mining method also confirm that investor sentiment only affects stock mispricing in the same year and has no effect on future years.
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