The Asymmetric Effects of Sensitivity of Investors on Stock Return in Firms Listed on Tehran Stock Exchange

Abstract

The aim of the present research is to study the asymmetric effect of investors sensitivity on stock return in firms listed on Tehran Stock Exchange. The research population includes all the firms listed in Tehran Stock Exchange during 2006 – 2011 that the sample size has been determined with the use of screening method which is equal to 138 firms after the elimination of irrelevant observations. In this study in which panel data with fixed and random effects has been used, the results obtained from the analysis of these 138 firms during the time span of 2006 – 2011 with the use of multi variable regression at 95% confidence level show that there is a direct and significant relationship between institutional investment ratio and firms’ stock return. Also, these results indicate that there is no significant relationship between managerial investors’ ratio with firms’ stock return.