SMB-arousal, disproportionate reactions and the size-premium
| dc.contributor.author | Durand, Robert | |
| dc.contributor.author | Juricev, A. | |
| dc.contributor.author | Smith, G. | |
| dc.date.accessioned | 2017-01-30T15:14:28Z | |
| dc.date.available | 2017-01-30T15:14:28Z | |
| dc.date.created | 2015-09-29T02:03:55Z | |
| dc.date.issued | 2007 | |
| dc.identifier.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. | |
| dc.identifier.uri | http://hdl.handle.net/20.500.11937/44507 | |
| dc.description.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. | |
| dc.publisher | Elsevier | |
| dc.subject | Underreaction | |
| dc.subject | Arousal | |
| dc.subject | Size-premium | |
| dc.subject | Overreaction | |
| dc.title | SMB-arousal, disproportionate reactions and the size-premium | |
| dc.type | Journal Article | |
| dcterms.source.volume | 15 | |
| dcterms.source.startPage | 315 | |
| dcterms.source.endPage | 328 | |
| dcterms.source.issn | 0927-538X | |
| dcterms.source.title | Pacific-Basin Finance Journal | |
| curtin.accessStatus | Fulltext not available |