The Effect of Investors Sentiment and Free Float on Stock return in TSE Listed Companies by Using Generalized Method of Moments (GMM)

This paper analyses the effects of investor sentiment and Free Float on stock price, based on Stock return. This study Uses data from firms listed in Tehran Stock Exchange over a period of 6 Years (2010-2016)and constructs investors' Sentiment Index and examines investors' sentiment effect on Stock return. Based on current expectations, when the free float is more, more deals done and consequently the share price volatility will also increase. Shareholders expect more profits from stocks which have more free floats. In this study, in order to increase the degree of confidence in the results, has been used Dynamic Panel method and estimation of the equation generalized moments (GMM).The findings of this study indicate that there is a positive and significant relationship between investor sentiment and free float stocks and stock returns.