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

The purpose of this study was to investigate the effect investor sentiment and Idiosyncratic risk on stock market mispricing in listed companies in Tehran Stock Exchange.In order to measure the miss pricing from Rhodes et al. Model (2005).for measuring the investor sentiment and Idiosyncratic risk,used the Jones Index (EMSI) and the remaining standard deviation of regression (CAPM). 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 requied data are selected monthly and yearly using the screening method. For analyzing them and test hypotheses, multiple linear regression models has been used.are used to analyze them. Evidence and empirical results of the research indicate that both the variables of investor sentiment and Idiosyncratic risk have a positive and significant effect on the mispricing of stock markets. This means that with an increase in investor sentiment and Idiosyncratic risk, the stock mispricing will also increases, and vice versa. also the Moderator role of the investor sentiment on the relationship between Idiosyncratic risk and mispricing have a positive and significant effect.