Size Effect

…evidence from German stocks supports belief in the pervasiveness of a momentum effect and perhaps a value premium, but not market beta and size effects. Any sentiment effect is likely weak, specific to susceptible stocks and concentrated in intervals after very low sentiment.

…a simple style momentum strategy implemented with ETFs may perform well compared to the overall stock market and individual style ETFs.

…evidence from very limited data suggests that there may be some systematic differences in seasonality among size and value/growth ETFs, but the combination of small sample size and modest magnitude of differences does not support confident belief.

…evidence from simple tests on a small sample offers weak support for a belief that large (small) capitalization stocks fare better when the Federal Funds Rate target is increasing (decreasing).

…investors may be able to streamline the search for anomalous returns by focusing on two factors: (1) firm size, representing the rational risk of failure; and, (2) a seasonal factor related to operating profit and buybacks-secondaries, representing irrational mispricing.

…evidence from narrow portfolios (top 30 stocks) over a recent short test period indicate that GARP-value-size strategies perform well, with the magic formula (EBIT/EV and ROC combined), EBIT/EV alone and E/P alone excelling.

…evidence form simple tests on a fairly small sample does not convincingly support the belief that investors can exploit the difference in responses to variations in the dollar-euro exchange rate between large and small capitalization U.S. stocks.

…a simple test of capitalization-based ETFs with available data (about nine years) indicates a potentially interesting but disappearing (disappeared?) size effect.

…evidence from this 19th century test supports belief in the persistence of the size effect and the value premium for equities.

…evidence indicates that the Australian stock market offers a strong value premium and a weak size effect.

…momentum trading strategies generally offer significantly positive alpha for large-capitalization U.S. stocks, but the strategies may not work during bear markets.

…the January effect for small-capitalization stocks persists throughout the past 60+ years.

…statistical analysis of stock pricing noise explains both a size effect and an advantage of equal-weighted portfolios over capitalization-weighted portfolios.

…investors on the whole base their (mis)perceptions of risk and return on feelings rather than rational pricing analysis. Contrarians may be able to exploit the underpricing of “despised” stocks by focusing on small value.

…some anomalies are stronger and more consistent than others. Momentum appears to be the strongest and most consistent.