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Anomalies and Investor Sentiment: International Evidence and the Impact of Size Factor
2023
Journal:  
International Journal of Financial Studies
Author:  
DOI:  
10.3390/ijfs11010049
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.

Keywords:

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International Journal of Financial Studies

Field :   Sosyal, Beşeri ve İdari Bilimler

Journal Type :   Uluslararası

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Article : 647
Cite : 386
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International Journal of Financial Studies