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 lack of a statistically significant size premium in the U.S. since the publication of Rolf Banz’s 1981 paper, “The Relationship Between Return and Market Value of Common Stocks,” published in the Journal of Financial [...]
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 [...]
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 [...]
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 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? [...]
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 [...]
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 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 [...]
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 [...]
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 [...]
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 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 [...]
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 [...]
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 [...]
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 [...]
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 [...]
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, [...]
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, [...]
