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

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Salur B. V., Ekinci C. E.

International Journal of Financial Studies, vol.11, no.1, 2023 (ESCI) identifier identifier

  • Publication Type: Article / Article
  • Volume: 11 Issue: 1
  • Publication Date: 2023
  • Doi Number: 10.3390/ijfs11010049
  • Journal Name: International Journal of Financial Studies
  • Journal Indexes: Emerging Sources Citation Index (ESCI), Scopus, ABI/INFORM, Business Source Elite, Business Source Premier, EconLit, Directory of Open Access Journals
  • Keywords: anomalies, investor sentiment, stock returns
  • Istanbul Technical University Affiliated: Yes


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.