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Can investor sentiment predict the size premium?

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  • Qadan, Mahmoud
  • Aharon, David Y.

Abstract

This study uses theoretical arguments from the psychology and financial decision-making literature to assess the extent to which investor sentiment contributes to explaining the size premium. We use daily, weekly and monthly data for 1965–2017, and several investor sentiment measures often used in the recent literature, including stock market-based, survey-based and press-based proxies. We provide empirical evidence that small stock premiums correlate with and are predictable through the use of a set of lagged investor sentiment measures. Our findings hold true for different sample periods and various modeling specifications.

Suggested Citation

  • Qadan, Mahmoud & Aharon, David Y., 2019. "Can investor sentiment predict the size premium?," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 10-26.
    • Handle: RePEc:eee:finana:v:63:y:2019:i:c:p:10-26
    DOI: 10.1016/j.irfa.2019.02.005
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    More about this item

    Keywords

    Investor sentiment; Market anomalies; Size effect; Size premium;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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