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

Bayram Veli Salur () and Cumhur Ekinci
Additional contact information
Bayram Veli Salur: Faculty of Management, Istanbul Technical University, Istanbul 34367, Turkey

IJFS, 2023, vol. 11, issue 1, 1-21

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: anomalies; investor sentiment; stock returns (search for similar items in EconPapers)
JEL-codes: F2 F3 F41 F42 G1 G2 G3 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://www.mdpi.com/2227-7072/11/1/49/pdf (application/pdf)
https://www.mdpi.com/2227-7072/11/1/49/ (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:gam:jijfss:v:11:y:2023:i:1:p:49-:d:1102430

Access Statistics for this article

IJFS is currently edited by Ms. Hannah Lu

More articles in IJFS from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().