• Skip to primary navigation
  • Skip to main content

EACVA

European Association of Certified Valuators and Analysts

  • Home
  • Association
    • EACVA’s Mission
    • Benefits of Membership
    • Classifications of Membership
    • Become a Member
    • About Us – People
    • GACVA Professional Standards
    • NACVA | GACVA Standard Comparison Charts
  • Certified Valuation Analyst (CVA)
    • CVA Training and Exam – for European Business Valuators in Europe
    • CVA Training and Exam Registration
    • Free Info Webcast: Certified Valuation Analyst (CVA) for European Business Valuators in Europe
    • The Core Body of Knowledge for Business Valuations
    • ANSI & NCCA Accredited
    • CVA Candidate Status
  • Business Valuation Events
    • EACVA’s 17th Annual International Business Valuation Conference 2024
    • Business Valuation Seminars
      • EACVA’s Live Web-Seminar: Start-Up Valuation
      • Live Web-Seminar: Valuation Meets ESG & Sustainability
      • EACVA’s Live Web-Seminar: Valuation of Highly Asset-Light Start-Up Companies
    • Webcast – Around the Valuation World international
    • Introduction to Business Valuation – Free Webcasts
  • European Business Valuation Magazine (EBVM)
    • Become an Author
  • Blog
  • Contact Us
  • Show Search
Hide Search

Fact, Fiction, and the Size Effect

Wolfgang Kniest · 28 November 2018

by Ron Alquist, AQR Capital Management LLC / Ronen Israel, AQR Capital Management, LLC / Tobias J. Moskowitz, Yale University, Yale SOM, AQR Capital, National Bureau of Economic Research (NBER)

In the earliest days of empirical work in academic finance, the size effect was the first market anomaly to challenge the standard asset pricing model and prompt debates about market efficiency. The notion that small stocks have higher average returns than large stocks, even after risk-adjustment, was a pathbreaking discovery, one that for decades has been taken as an unwavering fact of financial markets.

In practice, the discovery of the size effect fueled a crowd of small cap indices and active funds to a point where the investment landscape is now segmented into large and small stock universes. Despite its long and illustrious history in academia and its commonplace acceptance in practice, there is still confusion and debate about the size effect. We examine many claims about the size effect and aim to clarify some of the misunderstanding surrounding it by performing simple tests using publicly available data.

Download article here.

Organization

Join EACVA today: Learn More & Become a Member

EACVA is a Valuation Professional Organisation (VPO) member of IVSC

Copyright © 2025 EACVA. All rights reserved.

  • Contact Us
  • Privacy Policy
  • Imprint