Long-Only Value Investing: Does Size Matter?

29 Pages Posted: 20 Apr 2022 Last revised: 22 Sep 2022

See all articles by Jack Vogel

Jack Vogel

Alpha Architect; Villanova University

Date Written: April 7, 2022


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.

Keywords: Value investing, size investing, value anomaly

JEL Classification: G10, G11, G14

Suggested Citation

Vogel, Jack, Long-Only Value Investing: Does Size Matter? (April 7, 2022). Available at SSRN: https://ssrn.com/abstract=4078256 or http://dx.doi.org/10.2139/ssrn.4078256

Jack Vogel (Contact Author)

Alpha Architect ( email )

19 E. Eagle Road
Havertown, PA 19083
United States
215-882-9983 (Phone)

HOME PAGE: http://alphaarchitect.com/

Villanova University ( email )

Villanova, PA 19085
United States

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