SMB-arousal, disproportionate reactions and the size-premium
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 e...
| Main Authors: | , , |
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| Format: | Journal Article |
| Published: |
Elsevier
2007
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| Online Access: | http://hdl.handle.net/20.500.11937/44507 |
| _version_ | 1848757021154738176 |
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| author | Durand, Robert Juricev, A. Smith, G. |
| author_facet | Durand, Robert Juricev, A. Smith, G. |
| author_sort | Durand, Robert |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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. |
| first_indexed | 2025-11-14T09:21:28Z |
| format | Journal Article |
| id | curtin-20.500.11937-44507 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T09:21:28Z |
| publishDate | 2007 |
| publisher | Elsevier |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-445072017-02-28T01:48:19Z SMB-arousal, disproportionate reactions and the size-premium Durand, Robert Juricev, A. Smith, G. Underreaction Arousal Size-premium Overreaction 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. 2007 Journal Article http://hdl.handle.net/20.500.11937/44507 Elsevier restricted |
| spellingShingle | Underreaction Arousal Size-premium Overreaction Durand, Robert Juricev, A. Smith, G. SMB-arousal, disproportionate reactions and the size-premium |
| title | SMB-arousal, disproportionate reactions and the size-premium |
| title_full | SMB-arousal, disproportionate reactions and the size-premium |
| title_fullStr | SMB-arousal, disproportionate reactions and the size-premium |
| title_full_unstemmed | SMB-arousal, disproportionate reactions and the size-premium |
| title_short | SMB-arousal, disproportionate reactions and the size-premium |
| title_sort | smb-arousal, disproportionate reactions and the size-premium |
| topic | Underreaction Arousal Size-premium Overreaction |
| url | http://hdl.handle.net/20.500.11937/44507 |