The size effect has a rap sheet.
Every charge drops when you
control for junk.
Five researchers put the small-cap premium on trial across ninety years and two dozen markets.
|
Raw size effect |
Junk removed |
| Statistical strength | marginal | significant |
| Record through time | fades post 1980 | stable |
| Where it shows up | microcaps . January | across the board |
| Across 24 markets | weak | holds |
Cleaned of junk, the premium runs about 0.22 pct a month, roughly 2.7 pct a year since 1926, and lands on par with value and momentum. It holds across 30 industries and 24 countries. Same edge, finally visible.