financial accounting

fa احساس سرمایه‌گذار و بازده غیرعادی با تاکید بر نقش میانجی محافظه‌کاری حسابداری Investor sentiment and excess returns with emphasis on the mediating role of accounting conservatism تخصصي Special پژوهشي Research دیدگاه مالی رفتاری، نشان می‌دهد که برخی تغییرات قیمت اوراق بهادار به دلایل احساسی سرمایه‌گذاران وابسته است. رفتار احساسی سرمایه‌گذاران منجر به ایجاد بازده در سهام می‌شود<a name="_Hlk145586070">هدف این پژوهش، بررسی اثر میانجی محافظه‌کاری بر رابطه بین احساس سرمایه‌گذار و بازده غیرعادی</a>می‌باشد. جامعه آماری پژوهش شامل کلیه‌ی شرکت‌های پذیرفته شده در بورس اوراق بهادار تهران بوده که بر اساس شرایط در نظر گرفته شده (روش حذف سیستماتیک) برای انتخاب نمونه، 2767 سال- شرکت طی دوره 1389 تا 1399 انتخاب گردید. نتایج حاصل از آزمون فرضیه‌های پژوهش نشان داد که بین احساس سرمایه‌گذار و محافظه‌کاری و بین احساس سرمایه‌گذار و بازده غیرعادی رابطه منفی وجود دارد، اما نقش محافظه‌کاری به‌عنوان متغیر میانجی بین احساس سرمایه‌گذار و بازده غیرعادی تأیید نشده است. تغییرات در احساسات سرمایه‌گذاران منجر به شناسایی ریسک و فرصت‌های مرتبط با تغییرات در عوامل رفتاری شرکت شده و شرایط برای بهبود بازده شرکتها را فراهم می‌آورد.   Abstract The behavioral finance perspective shows that some changes in stock prices are dependent on the emotional reasons of investors. The emotional behavior of investors leads to returns in stocks. The purpose of this research is to investigate the mediating effect of conservatism on the relationship between investor sentiment and excess returns. The statistical population of the research included all the companies admitted to the Tehran Stock Exchange, based on the conditions considered (systematic elimination method), 2767 companies were selected during the period of 2010-2020. The results of the research hypotheses test showed that there is a negative relationship between investor sentiment and conservatism and between investor sentiment and abnormal returns, but the role of conservatism as a mediating variable between investor sentiment and excess returns has not been confirmed. Changes in investors' sentiments lead to the identification of risks and opportunities related to changes in the company's behavioral factors and provide conditions for improving the companies' performance. Keywords: conservatism, <a name="_Hlk153034215">excess</a> return, investor sentiment, information asymmetry.  Introduction :Return is the most important issue that is taken into account in making decisions; getting abnormal returns is one of the main concerns of investors. Since investors expect high returns, stock returns are the most important indicators for evaluating companies' performance. When this index decreases, It is a danger signal for the company and does not show the performance of the company at the appropriate level. If investors do not pay attention to abnormal returns, they will face problems, And they may turn away from the company. Shareholders consider conservatism as a monitoring method to reduce abnormal returns. Among the factors that can affect abnormal returns is investor sentiment, investor sentiment can be conceptualized as a belief about risk and return that is not justified by reality. This research seeks to answer the question of whether investor sentiment with the mediating role of conservatism has an effect on abnormal returns or not. By examining the backgrounds, this issue has not been worked on despite the mediating role of conservatism inside and outside, and considering the relevant limitations, 2767 companies, 377 companies from the Tehran Stock Exchange were examined as models.Therefore, the purpose of this research is to investigate the mediating effect of conservatism on the relationship between investor sentiment and abnormal returns.  Method and Data: In terms of dimension, this research is a developmental goal and the nature of original research, and the method of measuring the variables is as follows: from the 6-factor model of Fama and French (2018) to measure excess returns, and from the relative strength index (RSI), the psychologist's line index (PLI) , trading volume index (VOL) and adjusted stock turnover rate (ATR) have been used to measure investor sentiment, as well as the Khan and Watts (2009) model for conservatism criteria. The information required for this research is taken from the financial statements of 2767 years-companies, companies listed on the Tehran Stock Exchange in the return 2010-2020.More than one method is used to collect information. In this research, part of the information was taken directly from codal, tsetmc, tse, financial statements and another part from the stock exchange library, and by transferring the information to Excel and Stata software, these data were analyzed and their results were presented. Findings: The dependent variable was investigated using two methods, cumulative average and arithmetic average, In the arithmetic mean method, its analysis is as follows, Investor sentiment has a negative and significant effect on abnormal returns, and in the cumulative average method, investor sentiment has a negative and significant effect on excess returns; And the first research hypothesis is confirmed. The results of the second hypothesis test indicate that investor sentiment has a negative and significant effect on conservatism, and the research hypothesis is confirmed. In the third hypothesis, investor sentiment has a negative and significant effect, But conservatism does not have a significant effect on the relationship between investor sentiment and excess returns, thus the mediation is rejected. The results of the additional test (Givoly and Hayn) are the result of the fact that in the first hypothesis, in both methods, investors' tendencies have a negative and significant effect on the excess return, the first hypothesis of the research is confirmed. In the second hypothesis, investor sentiment has a negative and significant effect on conservatism, and the second hypothesis of the research is confirmed. The third hypothesis, in the arithmetic mean method, investor sentiment has a negative and significant effect on excess returns, and conservatism does not have a significant effect on the relationship between investor sentiment and excess returns. In this method, the third hypothesis is rejected, But in the cumulative average method, the conservatism variable has a significant effect on the relationship between investors' willingness and excess returns, thus the mediation is rejected.  Conclusion and discussion:As stated, the purpose of this research is to investigate the mediating effect of conservatism on the relationship between investor sentiment and excess returns. The result of the test of the first hypothesis of this research is based on the negative relationship between investor sentiment and excess return, in such a way that with the increase of investor sentiment, the company's excess return decreases. The result of this research is contrary to the research of Jolanjad & et al (2021), Madnachi & et al (2018). The second hypothesis of the research indicates that there is a negative and significant relationship between investor sentiment and conservatism. This result is contrary to the research of Ge et al(2018). But in the test of the third hypothesis by adding conservatism (mediating variable) to the model, contrary to the theoretical foundations of the research, conservatism does not exist as a mediating variable between investor sentiment and excess returns. And the third research hypothesis is rejected احساس‌سرمایه‌گذار, بازده غیرعادی, عدم تقارن اطلاعاتی, محافظه‌کاری conservatism, excess return, investor sentiment, information asymmetry. 92 73 http://qfaj.mobarakeh.iau.ir/browse.php?a_code=A-10-715-5&slc_lang=fa&sid=1 Mohammad Javad Zare Bahnamiri محمدجواد زارع بهنمیری mj.zare@qom.ac.ir 100319475328460015851 100319475328460015851 Yes Department of Accounting, Economic and Administrative Sciences, Qom University, Qom, Iran. گروه حسابداری، دانشکده علوم اقتصادی و اداری، دانشگاه قم، قم، ایران. Narges Sarlak نرگس سرلک sarlak.narges@gmail.com 100319475328460015852 100319475328460015852 No Department of Accounting, Economic and Administrative Sciences, Qom University, Qom, Iran. گروه حسابداری، دانشکده علوم اقتصادی و اداری، دانشگاه قم، قم، ایران. Samira Balavar سمیرا بالاور samiraqom@yahoo.com 100319475328460015853 100319475328460015853 No Department of Accounting, Economic and Administrative Sciences, Qom University, Qom, Iran. گروه حسابداری، دانشکده علوم اقتصادی و اداری، دانشگاه قم، قم، ایران.