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Long-Only Value Investing: Does Size Matter?

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Author
Jack Vogel
Category
Financial
Date Posted
2022/04/20
Date Retrieved
2022/09/22
Date Revised
Date Written
2022/04/07
Description
The academic value factor (long cheap stocks short expensive stocks) earns higher returns among small-cap stocks. However when viewed through the lens of a long-only value investor size is a less important factor. For example equal-weight large-cap value portfolios historically earned similar returns as small-cap value portfolios. This finding is robust to different value measures and markets. Despite realized returns being statistically similar the liquidity profile of the two value portfolios is dramatically different: Equal-weight large-cap value portfolios have approximately eleven times (or more) the liquidity of small-cap value portfolios.
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JEL Classifications
G10 G11 G14
Keywords
Value investing size investing value anomaly
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Pages
29
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URL
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4227067
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