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

Bayram Veli Salur*, Cumhur Ekinci

*Bu çalışma için yazışmadan sorumlu yazar

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Özet

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.

Orijinal dilİngilizce
Makale numarası49
DergiInternational Journal of Financial Studies
Hacim11
Basın numarası1
DOI'lar
Yayın durumuYayınlandı - Mar 2023

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© 2023 by the authors.

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