An interesting look at the size anomaly

/An interesting look at the size anomaly

An interesting look at the size anomaly

By | 2017-08-18T17:10:36+00:00 November 4th, 2015|Uncategorized, Size Investing Research|Comments Off on An interesting look at the size anomaly

Many of you are probably aware of the paper from AQR entitled, “Size Matters: When 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:

size matters when controlling for junk

 

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.


  • The views and opinions expressed herein are those of the author and do not necessarily reflect the views of Alpha Architect, its affiliates or its employees. Our full disclosures are available here. Definitions of common statistics used in our analysis are available here (towards the bottom).
  • Join thousands of other readers and subscribe to our blog.
  • This site provides NO information on our value ETFs or our momentum ETFs. Please refer to this site.

Print Friendly, PDF & Email

About the Author:

Wes Gray
After serving as a Captain in the United States Marine Corps, Dr. Gray earned a PhD, 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 that delivers affordable active exposures for tax-sensitive investors. Dr. Gray has published four books and a number of academic articles. Wes is a regular contributor to multiple industry outlets, to include the following: Wall Street Journal, Forbes, ETF.com, and the CFA Institute. Dr. Gray earned an MBA and a PhD in finance from the University of Chicago and graduated magna cum laude with a BS from The Wharton School of the University of Pennsylvania.