Because I have been studying on Behavioral Finance and Behavioral Economics, I can not have enough knowledge about the subject. I thinl Pablo Fernandez ( http://web.iese.edu/PabloFernandez/ ) is a dandy person of this subject.
Sample size mainly model sample (in sample) is very much dependent on hypothesis, method of study and no of variables being used in the study. As far as the test sample or out of sample is concerned, no exact answer is there. It may be 10% of model sample or 20% but depends on sensitivity of the study.