Strategies · Core
Size Factor — Small Capitalization Stocks Premium
Long small-cap stocks and short large-caps — the size premium as a tradable long-short, not a Russell slogan.
Definition
Sort on market cap (NYSE breakpoints if you are being academic), long the small, short the big, often value-weighted inside buckets. Micro-caps and costs change the story. January and illiquidity are confounders.
Why it matters
SMB is in every factor model. Live, the premium is weaker and more expensive than the CRSP poster.
Case
Post-1980s US size is a lot less pretty after costs. International and ‘small-but-not-micro’ versions are the honest tests.
How to read it
Breakpoint, investable universe, and cost. If the edge is in the 9th NYSE decile in 1965, you do not have a product.
Key papers
Landmark references with real publisher or arXiv links — not token-overlap noise.
- The Cross-Section of Expected Stock ReturnsFama, French · 1992 · Journal of FinanceSize in the cross-section.
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