Many of you are probably aware of the paper from AQR entitled, “Size Matters: If you control for your junk.” We loved the title so much we considered it one of our Top 5 Geeky, Yet Funny, Economic Paper Titles. Of course, great papers often go unread beyond the abstract because they are a bit dense. A solution to this is to get access to the presentation version of the paper. Typically, a powerpoint deck can convey the information is a more efficient manner than reading through the 50 pages of academic jargon. Luckily, the Jacobs Levy Equity Management Center hosted an event recently and the AQR crew presented their paper. Here is a link and here is the bottom line: The evidence is pretty clear that the size anomaly is alive and well. We alluded to this conclusion a while ago–even without considering quality.
An interesting look at the size anomaly
About the Author: Wesley Gray, PhD
After serving as a Captain in the United States Marine Corps, Dr. Gray earned an MBA and a PhD in finance from the University of Chicago where he studied under Nobel Prize Winner Eugene Fama. Next, Wes took an academic job in his wife’s hometown of Philadelphia and worked as a finance professor at Drexel University. Dr. Gray’s interest in bridging the research gap between academia and industry led him to found Alpha Architect, an asset management firm dedicated to an impact mission of empowering investors through education. He is a contributor to multiple industry publications and regularly speaks to professional investor groups across the country. Wes has published multiple academic papers and four books, including Embedded (Naval Institute Press, 2009), Quantitative Value (Wiley, 2012), DIY Financial Advisor (Wiley, 2015), and Quantitative Momentum (Wiley, 2016). Dr. Gray currently resides in the suburbs of Philadelphia with his wife and three children. He recently finished the Leadville 100 ultramarathon race and promises to make better life decisions in the future.