Curtin University Homepage
  • Library
  • Help
    • Admin

    espace - Curtin’s institutional repository

    JavaScript is disabled for your browser. Some features of this site may not work without it.
    View Item 
    • espace Home
    • espace
    • Curtin Research Publications
    • View Item
    • espace Home
    • espace
    • Curtin Research Publications
    • View Item

    SMB-arousal, disproportionate reactions and the size-premium

    Access Status
    Fulltext not available
    Authors
    Durand, Robert
    Juricev, A.
    Smith, G.
    Date
    2007
    Type
    Journal Article
    
    Metadata
    Show full item record
    Citation
    Durand, R. and Juricev, A. and Smith, G. 2007. SMB-arousal, disproportionate reactions and the size-premium. Pacific-Basin Finance Journal. 15: pp. 315-328.
    Source Title
    Pacific-Basin Finance Journal
    ISSN
    0927-538X
    URI
    http://hdl.handle.net/20.500.11937/44507
    Collection
    • Curtin Research Publications
    Abstract

    This paper examines SMB (small minus big), the mimicking portfolio in Fama and French's [Fama, E., French, K., 1993. Common risk factors in the returns on stocks and bonds, Journal of Financial Economics 33, 3–56] three-factor asset pricing model. We do not examine whether SMB is a factor in explaining the cross-section of returns. This paper's focus is why S is greater than B. After controlling for marketpervasive effects, we argue that the small-firm premium is driven by both investors' emotional arousal (proxied by the turnover ratio) and their disproportionate reactions to arousing stimuli.

    Related items

    Showing items related by title, author, creator and subject.

    • An increase in stimulus arousal has differential effects on the processing speed of pleasant and unpleasant stimuli
      Purkis, H.; Lipp, Ottmar; Edwards, M.; Barnes, R. (2009)
      The arousal value of a stimulus influences its salience, whereby higher arousal should lead to faster processing. However, in previous research, participants consistently made faster valence judgments for low arousal, ...
    • Toward Use of Facial Thermal Features in Dynamic Assessment of Affect and Arousal Level
      Khan, Masood Mehmood; Ward, R.; Ingleby, M. (2016)
      Automated assessment of affect and arousal level can help psychologists and psychiatrists in clinical diagnoses; and may enable affect-aware robot-human interaction. This work identifies major difficulties in automating ...
    • Musical preferences during and after relaxation and exercise
      North, Adrian; Hargreaves, David (2000)
      Effects of the listening context on responses to music largely have been neglected despite the prevalence of music listening in our everyday lives. This article reports 2 studies in which participants (college students) ...
    Advanced search

    Browse

    Communities & CollectionsIssue DateAuthorTitleSubjectDocument TypeThis CollectionIssue DateAuthorTitleSubjectDocument Type

    My Account

    Admin

    Statistics

    Most Popular ItemsStatistics by CountryMost Popular Authors

    Follow Curtin

    • 
    • 
    • 
    • 
    • 

    CRICOS Provider Code: 00301JABN: 99 143 842 569TEQSA: PRV12158

    Copyright | Disclaimer | Privacy statement | Accessibility

    Curtin would like to pay respect to the Aboriginal and Torres Strait Islander members of our community by acknowledging the traditional owners of the land on which the Perth campus is located, the Whadjuk people of the Nyungar Nation; and on our Kalgoorlie campus, the Wongutha people of the North-Eastern Goldfields.