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

Author

Listed:
  • 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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    Cited by:

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    2. Zetty Zahureen Mohd Yusoff & Nur Zahidah Bahrudin & Ani Wilujeng Suryani, 2023. "Monetary Policy, Macroeconomic and Anomalies Interactions Post COVID in Developed and Eastern European Stock Markets," Information Management and Business Review, AMH International, vol. 15(3), pages 470-479.
    3. Karolina Krystyniak & Hongqi Liu & Huajing Hu, 2025. "What’s Trending? Stock-Level Investor Sentiment and Returns," IJFS, MDPI, vol. 13(3), pages 1-27, August.
    4. Zhong‑Qiang Zhou & Jiajia Wu & Ping Huang & Xiong Xiong, 2025. "Cross-sectional anomalies and conditional asset pricing models based on investor sentiment: evidence from the Chinese stock market," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 11(1), pages 1-24, December.

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