Do the stocks of small firms consistently outperform those of larger companies? If so, why, and can investors/traders exploit this tendency? These blog entries relate to the size effect.
March 26, 2005 - Size Effect, Technical Trading
In a March 2005 update of his paper entitled “Simple Technical Trading Strategies: Returns, Risk and Size”, Satyajit Chandrashekar investigates the effectiveness of simple moving average technical trading strategies across ten market capitalization size deciles for the period 1963-2002. He finds that: Keep Reading
March 15, 2005 - Size Effect
In his December 2004 paper, Jason Hsu shows that: “Cap-Weighted Portfolios Are Sub-optimal Portfolios”. Noting that over $10 trillion are currently invested in passive capitalization-weighted indices, he examines data from 1962-2003 to show that: Keep Reading