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- Article
- Abstract
- FICTION: THE SIZE EFFECT IS ONE OF THE STRONGEST DOCUMENTED ANOMALIES/FACTORS
- FACT: THE SIZE EFFECT HAS DISAPPEARED OR WEAKENED SINCE ITS DISCOVERY
- FICTION: THE SIZE EFFECT IS ROBUST TO HOW YOU MEASURE SIZE
- FACT: THE SIZE EFFECT IS DOMINATED BY A JANUARY EFFECT
- FICTION: THE SIZE EFFECT WORKS IN OTHER EQUITY MARKETS
- FACT: THE SIZE EFFECT IS EITHER NOT APPLICABLE OR DOES NOT WORK FOR OTHER ASSET CLASSES
- FACT: THE SIZE EFFECT MOSTLY COMES FROM MICROCAP STOCKS
- FACT: THE SIZE EFFECT IS DIFFICULT TO IMPLEMENT IN PRACTICE
- FICTION: THE SIZE EFFECT IS LIKELY MORE THAN JUST A LIQUIDITY EFFECT
- FICTION: THERE IS A STRONG ECONOMIC STORY, EX LIQUIDITY, IN WHICH SMALL STOCKS SHOULD DESERVE A MARGINAL PREMIUM OVER THEIR OTHER RISK CHARACTERISTICS
- FICTION: MANY ANOMALIES BEING STRONGER AMONG SMALL STOCKS IS EVIDENCE OF A SIZE EFFECT
- FACT: OTHER FACTORS WORKING BETTER IN SMALL CAPS CAN BE A REASON TO BE OVERWEIGHT SMALL STOCKS EVEN THOUGH THERE IS NO PURE SIZE EFFECT
- FACT AND FICTION: THE SIZE EFFECT IS MUCH STRONGER WHEN CONTROLLING FOR OTHER FACTORS
- FACT: THE SIZE EFFECT RECEIVES DISPROPORTIONATELY MORE ATTENTION THAN OTHER FACTORS WITH SIMILAR OR MUCH STRONGER EVIDENCE
- CONCLUSION
- ACKNOWLEDGMENTS
- ENDNOTES
- REFERENCES
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