The effect of investors' attributes on stock returns fluctuations in the framework of the modified effect of perceived audit quality - An Applied Study on Companies Listed on The Egyptian Stock Exchange

his study aims to analyze and examine the impact of investor Sentiment on stock return volatility within the framework of the moderating effect of perceived audit quality. The research sample comprised 91 non-financial companies listed on the Egyptian Stock Exchange over a six-year period (2018–2023), yielding a total of 546 firm-year observations. Data were collected from specialized financial databases, including annual financial statements, accompanying notes, minutes of shareholders’ meetings, annual board of directors’ reports, and external auditors’ reports. The analysis employed a range of appropriate statistical techniques, such as correlation analysis, regression analysis, and path analysis. The empirical findings, derived from both the primary hypothesis testing and sensitivity analyses, reveal a significant positive relationship between investor traits and stock return volatility, alongside a significant negative relationship between perceived audit quality and stock return volatility. Moreover, the results indicate a significant negative moderating effect of perceived audit quality on the relationship between investor traits and stock return volatility for companies listed on the Egyptian Stock Exchange. Furthermore, the outcomes of the sensitivity analysis were consistent with those of the primary analysis, thereby reinforcing the robustness and reliability of the study’s conclusions. Keywords: Investor sentiment, stock return volatility, audit quality, perceived audit quality.