Anomalies and Investor Sentiment: International Evidence and the Impact of Size Factor

Bayram Veli Salur*, Cumhur Ekinci

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

1 Citation (Scopus)

Abstract

We examine whether investor sentiment can explain anomalies such as size and book-to-market in the US stock market. Differently from the literature, we test combination portfolios (portfolios formed on more than one factor such as size, book-to-market ratio, etc.) of developed markets for the same purpose. We find that sentiment is related to some anomalies in Europe, Japan, North America and global portfolios; hence, the sentiment and anomaly relationship may be universal. In addition, when size factor is controlled, the explanatory power of sentiment in anomaly returns changes.

Original languageEnglish
Article number49
JournalInternational Journal of Financial Studies
Volume11
Issue number1
DOIs
Publication statusPublished - Mar 2023

Bibliographical note

Publisher Copyright:
© 2023 by the authors.

Keywords

  • anomalies
  • investor sentiment
  • stock returns

Fingerprint

Dive into the research topics of 'Anomalies and Investor Sentiment: International Evidence and the Impact of Size Factor'. Together they form a unique fingerprint.

Cite this