SMB-arousal, disproportionate reactions and the size-premium
MetadataShow full item record
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.
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 stimuliPurkis, 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, ...
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) ...
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 ...