The Effect of Investors' Sentiment on Price to Earning Ratio of the Tehran Stock Exchange

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Ghavamabadi, Sina | 2021

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Type of Document: M.Sc. Thesis
Language: Farsi
Document No: 54656 (44)
University: Sharif University of Technology
Department: Management and Economics
Advisor(s): Barakchian, Mahdi
Abstract:
Price to earnings ratio is one of the most used ratios in financial markets for valuation of firms in the Iran and world. In present research for analysis of this ratio,investors’ sentiment alongside fundamental factors affecting price to earnings ratio has been investigated. Fundamental factors affecting this ratio are selected based on prior research and economics theory; these factors are, dividend ratio, growth,risk and inflation. For the analysis of investors’ sentiment, eight proxies related to sentimental behavior have been utilized; among them, four are introduced and used for the first time in this research. Implementing these eight sentimental proxies, a variable measuring investors’ sentiment in Tehran stock market has been established.Analysis of the effect of this sentimental variable on the price to earnings ratio has been investigated both on whole market and individual firm level. In the market level, a time series model has been utilized and in the individual firm level a panel model has been used.
Keywords:
Price-to-Earnings Ratio ; Sentiment Analysis ; Tehran Stock Exchange ; Behavioral Economics ; Financial Market ; Behavioral Analysis

No TOC