The Effect of Sustainability Premium on the Relationship Between Investor Sentiment Contagion and Excess Stock Returns in Companies Listed on the Tehran Stock Exchange

The purpose of this study was to investigate the effect of sustainability premium on the relationship between investor sentiment and excess returns on the Tehran Stock Exchange. In this study, a screening method was employed to select the sample, resulting in an analysis of ۱۱۸ companies over the period from ۲۰۱۴ to ۲۰۲۳, which provided ۱,۱۸۰ firm-year observations. To test the research hypotheses, multivariate regression analysis was used. The results revealed that investor sentiment has a positive effect on excess returns, and sentiment contagion also positively influences excess returns. The sustainability premium also had a negative impact on the relationship between investor sentiment and excess returns. Sustainability premium also had a positive effect on the relationship between sentiment contagion and excess returns. Based on the findings, investors are advised to incorporate the sentiment atmosphere of stocks and the degree of sentiment contagion into their economic decision-making processes.

کلیدواژه ها:

Sentiment contagion ، Investor Sentiment ، Sustainability premium ، Excess returns