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July 31st, 2015 | Gerstein Fisher

Research paper sizes up the size premium

Since Rolf Banz wrote about the so-called small stock effect in the early 1980s, it has come to be accepted by many investment practitioners that smaller-capitalization stocks carry a return premium over their larger counterparts as well as the broader equity market. Since that time, however, the premium has shrunk substantially, causing some to question whether it will persist into the future—and others to even suggest maybe it never existed to begin with. Gerstein Fisher takes a look at these arguments in a new research brief, Sizing Up the Size Premium.

 

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