Is Size a Useful Investing Factor or Not?

By |December 18th, 2020|Research Insights, Factor Investing, Larry Swedroe, Other Insights, Size Investing Research|

In his famous 1981 paper, "The Relationship Between Return and Market Value of Common Stocks,” Rolf Banz found that small firms have higher risk-adjusted returns than large firms. This was one of the first major [...]

The Gap Between Large and Small Companies is Growing. Why?

By |March 5th, 2020|Research Insights, Larry Swedroe, Size Investing Research|

In my role as chief research officer for the Buckingham Family of Financial Services, I receive many questions from investors and advisors alike, asking me to address concerns they have that originate from articles they [...]

The Massive Performance Divergence Between Large Growth and Small Value Stocks

By |February 21st, 2020|Research Insights, Factor Investing, Larry Swedroe, Value Investing Research, Size Investing Research|

From 2017 through 2019, the Russell 1000 Growth Index returned 20.5 percent per annum, outperforming the Russell 1000 Value Index, which returned 9.7 percent, by 10.8 percentage points a year; and the Russell 2000 Growth [...]

Liquidity might be a better proxy for Size in equity markets

By |October 28th, 2019|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Size Investing Research|

The Size Premium in Equity Markets: Where Is the Risk? Stefano Ciliberti, Emmanuel Sérié, Guillaume Simon, Yves Lempérière, and Jean-Philippe Bouchaud Journal of Portfolio Management A version of this paper can be found here Want to [...]

Fact, Fiction, and the Size Effect

By |July 8th, 2019|Factor Investing, Basilico and Johnsen, Academic Research Insight, Size Investing Research|

Fact, Fiction and the Size Effect Ron Alquist, Ronen Israel, And Tobias Moskowitz Journal of Portfolio Management, 2018 A version of this paper can be found here Want to read our summaries of academic finance papers? [...]

Large-Cap Price-to-Book Investing: What is Dead May Never Die

By |June 25th, 2019|Guest Posts, Value Investing Research, Size Investing Research|

In the great book and series Game of Thrones, the inhabitants of the Iron Islands have a saying "What is Dead May Never Die" which is to be replied with "But rises again harder and [...]

Why the Size Premium Should Persist

By |March 20th, 2019|Research Insights, Factor Investing, Larry Swedroe, Size Investing Research|

As the chief research officer for Buckingham Strategic Wealth and The BAM Alliance, I’m often asked, after any asset class or factor experiences a period of poor performance, if the historical outperformance of stocks with [...]

Factor Investing in Practice

By |March 14th, 2019|Research Insights, Factor Investing, Academic Research Insight, Value Investing Research, Size Investing Research|

Factor Investing from Concept to Implementation Eduard van Gelderen, Joop Huij, and Georgi Kyosev Working paper A version of this paper can be found herehat tip to Art Johnson for mentioning this paper! What are [...]

Compound Your Knowledge Episode 5: Size & Value

By |February 19th, 2019|Research Insights, Podcasts and Video, Weekly Research Recap Videos, Size Investing Research|

In today’s video, we examine two posts from last week. First, we examine Wes' post on the Size factor. Second, we examine a paper by Tommi examining the distribution of Size and Value returns over [...]

Is There a Size Effect in the Stock Market?

By |February 14th, 2019|Research Insights, Factor Investing, Size Investing Research|

One of the oldest and most persuasive arguments in the stock market is that small stocks outperform large stocks.A version of this showed up in the WSJ. Warren Buffett, speaking at the 2013 Berkshire [...]

How Risky are the Value and Size Premiums? Part 2/2 of Volatility Lessons

By |February 11th, 2019|Research Insights, Basilico and Johnsen, Academic Research Insight, Value Investing Research, Size Investing Research|

Volatility Lessons Eugene F. Fama and Kenneth R. French Financial Analysts Journal A version of this paper can be found here Want to read our summaries of academic finance papers? Check out our Academic Research Insight [...]

Size and Value in China

By |January 31st, 2019|Research Insights, Guest Posts, Academic Research Insight, Value Investing Research, Size Investing Research|

Size and Value in China Jianan Liu, Rob Stambaugh, and Yu Yuan Journal of Financial Economics A version of this paper can be found here What are the research questions? China represents the world's second largest [...]

The Inconsistent Performance of Value and Size Factors in the Chinese A-Share Market

By |June 4th, 2018|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Size Investing Research|

Fama–French in China: Size and Value Factors in Chinese Stock Returns Grace Xing Hu, Can Chen, Yuan Shao, and Jiang Wang International Review of Finance A version of this paper can be found here Want to [...]

Factor Investors Beware: Positive SMB May Not Mean You Own Small-Caps

By |November 10th, 2017|Research Insights, Factor Investing, Size Investing Research|

Regression analysis is used all the time to assess how a portfolio "loads" on certain factors. The most common factor loadings examined are the market, size, value, and momentum factors. This can be an informative [...]

Chinese Market Anomalies – The Factor Killer?

By |May 12th, 2017|Value Investing Research, Momentum Investing Research, Size Investing Research, Active and Passive Investing|

The Oracle of Omaha just commented on the Chinese stock market in this year's Berkshire's annual meeting: ...Markets have a casino characteristic that has a lot of appeal to people, particularly when they see people [...]

Will ETFs Destroy Factor Investing? Nope.

By |February 17th, 2017|Research Insights, Factor Investing, Guest Posts, Value Investing Research, Momentum Investing Research, Low Volatility Investing, Size Investing Research|

One of the popular investing truisms is the following (inspired by Bill Sharpe): For somebody to beat the market (win) someone else has to lag the market (lose). This becomes an even more daunting (efficient [...]

Factor Investing is More Art, and Less Science

By |February 3rd, 2017|Research Insights, Factor Investing, Key Research, Value Investing Research, Momentum Investing Research, Size Investing Research|

Albert Einstein is reported to have said the following: The more I learn, the more I realize how much I don’t know. We can relate. Having studied finance for a long time (Ph.D., professor, books, [...]

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