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:
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.
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Definitions of common statistics used in our analysis are available here (towards the bottom)