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Measuring the Size Effect with Capitalization-based ETFs
April 13, 2022 • Posted in Size Effect
Do popular capitalization-based exchange-traded funds (ETF) offer a reliable way to exploit an equity size effect? To investigate, we look at the difference in returns (small minus big) between:
Using monthly dividend-adjusted closing prices for these ETFs during May 2000 (limited by IWM) through March 2022, we find that: (more…)
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