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has been cited by the following article:

• TITLE: Investor Sentiment and Size Effect

  AUTHORS: Ge Li

  KEYWORDS: Investor Sentiment, Size Effect, Small Stocks, Size Premium, Size Factor, Risk Compensation

  JOURNAL NAME: Open Journal of Social Sciences, Vol.8 No.7, July 24, 2020

  ABSTRACT: This paper uses the two-stage least square method and uses the monthly data of investor sentiment and size effect from 2003 to 2019. Different from the linear model used in previous studies, this paper, based on the nonlinear model, explores the relationship between investor sentiment and size effect. The study finds that investor sentiment has explanatory power to size effect and they take on an inverted U-shaped relationship. Compared with the rising period of investor sentiment, the falling period of investor sentiment is more sensitive to size effect. In addition, this paper uses an alternative variable ISI of investor sentiment, and its empirical results are still robust.