Risk-getiri ödünleşmesinde yatırımcı duyarlılığının rolü: Türkiye hisse senedi piyasası

In traditional finance, higher return comes with the expense of higher risk. However, rational models fail to explain certain market anomalies such as the equity premium puzzle. Addressing this issue, we focus on risk-return trade-off in the Turkish stock market taking investor sentiment into consideration. For that purpose, we look at BIST-100, the main aggregated index of the national market. Investor sentiment, a proxy aimed to reflect the irrational nature of investors, helps to incorporate the behavioral aspect into the equation. The risk in the market, as proxied by the RISE index, has a direct impact on stock and market returns. So does the investor sentiment, except that it should be evaluated together with the risk so that we can provide an explanation to the excess return. Therefore, we build time-series regressions with the market return as the dependent variable, risk as the control variable, and investor sentiment index (or proxies) as the independent variable(s). Investor sentiment is proxied by Consumer Confidence Index (CCI), investment trust discount, share turnover, number and average first-day return of initial public offerings, equity share in new issues, change of the trading volume, exchange rate, number of investment accounts, and ratio of net foreign stock purchases to market capitalization. Our results prove that investor sentiment is a contrarian indicator of returns when proxied by the combination of seven variables we have proposed. We also find that CCI alone is not a useful proxy for investor sentiment.