Abstract:Evidence accumulated in the literature indicates that the size effect is related to corporate and macroeconomic variables and is paid to compensate for bearing risk. We show that the size premium is also driven by daily variations in investors’ moods. We focus on two conditions often cited as possible mechanisms that drive variations in mood: Monday and seasonal affective disorder. The findings are consistent with the evidence that mood deteriorates on Mondays and in the fall and are consistent with the claim … Show more
Set email alert for when this publication receives citations?
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.