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 literature, we test combination portfolios (portfolios formed on more than one factor size, ratio, etc.) of developed markets for same purpose. find that is related to some Europe, Japan, North America global portfolios; hence, anomaly relationship may be universal. In addition, when controlled, explanatory power returns changes.