مقایسه احساسات سرمایه گذاران و تاثیرات صرف ریسک بر ارزش گذاری سهام A comparison of investors’ sentiments and risk premium effects on valuing shares

1. Introduction Based on Ohlson (1995) share price valuation model, this paper examines if deviations of share prices from their fundamental values can be explained by missing risk premium effects (see, Fama and French, 1993; 2014) and/or investors’ behavioral biases (e.g., excessive optimism or other psychological characteristics referred to as investors’ sentiments, see De Bondt and Thaler (1987), Barberis et al. (1998) and Baker and Wurgler (2006)). Ohlson’s model has the following attractive features. It treats investment in a share as a balance sheet factor, and not as one that reduces cash flows (see Penman and Sougiannis, 1998). It relies its valuation on the book value of a firm, which is a readily available variable, and on the present value of future abnormal earnings for some years ahead, which can be obtained from financial statement data announced by firms. Thus, it avoids making assumptions about future dividends processes. Our empirical methodology employs recently developed panel data econometric techniques controlling for the effects of unobserved common factors on the explanatory power of regressors capturing risk premium and/or sentiment effects. Identifying these factors and measuring their explanatory power on share prices can indicate at what extent compared to the observed ones can explain cross-sectional and time-series, total variation of share prices from their fundamental values. The data used in our analysis includes 37 companies from the FTSE 100 index, traded continuously in the UK stock market between years 1987 and 2012. This period covers a number of extraordinary events, like the years 1987, 1997, 2001, 2008 and 2010 stock markets crises, which may have triggered behavioral effects on share prices. The paper is organized as follows. Section 2 presents the share price valuation model, while Section 3 the empirical methodology of the paper and it discuss the estimation results. Section 4 concludes the paper.