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

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  • Bayram Veli Salur

    (Faculty of Management, Istanbul Technical University, Istanbul 34367, Turkey)

  • Cumhur Ekinci

    (Faculty of Management, Istanbul Technical University, Istanbul 34367, Turkey)

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.

Suggested Citation

  • Bayram Veli Salur & Cumhur Ekinci, 2023. "Anomalies and Investor Sentiment: International Evidence and the Impact of Size Factor," IJFS, MDPI, vol. 11(1), pages 1-21, March.
    • Handle: RePEc:gam:jijfss:v:11:y:2023:i:1:p:49-:d:1102430
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    References listed on IDEAS

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