Anomalies and Investor Sentiment: International Evidence and the Impact of Size Factor
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 p...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2023-03-01
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| Series: | International Journal of Financial Studies |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7072/11/1/49 |
| _version_ | 1797858443568087040 |
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| author | Bayram Veli Salur Cumhur Ekinci |
| author_facet | Bayram Veli Salur Cumhur Ekinci |
| author_sort | Bayram Veli Salur |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-04-09T21:13:28Z |
| format | Article |
| id | doaj.art-da4ae8006a024642ab6fbf0cbc3403a8 |
| institution | Directory Open Access Journal |
| issn | 2227-7072 |
| language | English |
| last_indexed | 2024-04-09T21:13:28Z |
| publishDate | 2023-03-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | International Journal of Financial Studies |
| spelling | doaj.art-da4ae8006a024642ab6fbf0cbc3403a82023-03-28T13:47:28ZengMDPI AGInternational Journal of Financial Studies2227-70722023-03-0111494910.3390/ijfs11010049Anomalies and Investor Sentiment: International Evidence and the Impact of Size FactorBayram Veli Salur0Cumhur Ekinci1Faculty of Management, Istanbul Technical University, Istanbul 34367, TurkeyFaculty of Management, Istanbul Technical University, Istanbul 34367, TurkeyWe 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.https://www.mdpi.com/2227-7072/11/1/49anomaliesinvestor sentimentstock returns |
| spellingShingle | Bayram Veli Salur Cumhur Ekinci Anomalies and Investor Sentiment: International Evidence and the Impact of Size Factor International Journal of Financial Studies anomalies investor sentiment stock returns |
| title | Anomalies and Investor Sentiment: International Evidence and the Impact of Size Factor |
| title_full | Anomalies and Investor Sentiment: International Evidence and the Impact of Size Factor |
| title_fullStr | Anomalies and Investor Sentiment: International Evidence and the Impact of Size Factor |
| title_full_unstemmed | Anomalies and Investor Sentiment: International Evidence and the Impact of Size Factor |
| title_short | Anomalies and Investor Sentiment: International Evidence and the Impact of Size Factor |
| title_sort | anomalies and investor sentiment international evidence and the impact of size factor |
| topic | anomalies investor sentiment stock returns |
| url | https://www.mdpi.com/2227-7072/11/1/49 |
| work_keys_str_mv | AT bayramvelisalur anomaliesandinvestorsentimentinternationalevidenceandtheimpactofsizefactor AT cumhurekinci anomaliesandinvestorsentimentinternationalevidenceandtheimpactofsizefactor |