What is the phenomenon of the size effect in stock performance? How does it relate to the "turn-of-the-year" ("year-end")effect? Can you suggest any good reason why the returns of small stocks,after adjusting for beta,still do better than those for large stocks? What strategy would you follow to exploit this anomaly? What factors do you have to keep in mind?

Question

Quizplus · Accepted Answer

The Answer of What is the phenomenon of the size effect in stock performance? How does it relate to the "turn-of-the-year" ("year-end")effect? Can you suggest any good reason why the returns of small stocks,after adjusting for beta,still do better than those for large stocks? What strategy would you follow to exploit this anomaly? What factors do you have to keep in mind?

What Is the Phenomenon of the Size Effect in Stock