The Size Proxy

4 Pages Posted: 17 Nov 2015 Last revised: 7 Aug 2017

Date Written: November 16, 2015

Abstract

Though ‘Size’ is the most important factor explaining stock market returns the possibility of size being a proxy was first mentioned in Banz (1978). Even after forty years of factor investing the industry is still looking for answers. This paper chronologically lists the research on ‘Size’ and why the question regarding ‘The Size Proxy’ has never been so relevant.

Keywords: Size Effect, Value Effect, Price Earning, Beta

JEL Classification: A00, A10

Suggested Citation

Pal, Mukul, The Size Proxy (November 16, 2015). Available at SSRN: https://ssrn.com/abstract=2691609 or http://dx.doi.org/10.2139/ssrn.2691609

Mukul Pal (Contact Author)

AlphaBlock ( email )

Toronto, Ontario M8Z 2H6
Canada

HOME PAGE: http://www.alphablock.org

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