Size Effect

Bill Jiang ()
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Bill Jiang: Legal & General Investment Management

Chapter Chapter 9 in Investment Strategies, 2022, pp 103-117 from Springer

Abstract: Abstract The size effect is the phenomenon that smaller companies have historically delivered higher long-term returns than their larger peers. The existence of size premium seriously challenges the validity of the efficient market hypothesis. Smallcap represents a distinctive asset class with good return potential. This chapter discusses the key characteristics of smallcap companies. It provides a detailed introduction to the Fama–French 3-Factor Model. The model formally establishes the position of size as a key risk factor in asset pricing. The chapter provides abundant evidence of the size premium and shows the potential to enhance the size effect by controlling company quality.

Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-030-82711-3_9

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DOI: 10.1007/978-3-030-82711-3_9

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