The Size Proxy
4 Pages Posted: 17 Nov 2015 Last revised: 7 Aug 2017
Date Written: November 16, 2015
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: Suggested Citation