Can investor sentiment predict the size premium?

Mahmoud Qadan, David Y. Aharon

Research output: Contribution to journalArticlepeer-review


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.

Original languageEnglish
Pages (from-to)10-26
Number of pages17
JournalInternational Review of Financial Analysis
StatePublished - May 2019

Bibliographical note

Publisher Copyright:
© 2019 Elsevier Inc.


  • Investor sentiment
  • Market anomalies
  • Size effect
  • Size premium

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics


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