A Literature Review of the Size Effect
A Literature Review of the Size Effect ArXiv ID: ssrn-1710076 “View on arXiv” Authors: Unknown Abstract The size effect in finance literature refers to the observation that smaller firms have higher returns than larger firms, on average over long horizons. It also Keywords: Size effect, Small-cap premium, Asset pricing, Equity returns, Fama-French factors, Equities Complexity vs Empirical Score Math Complexity: 2.0/10 Empirical Rigor: 3.0/10 Quadrant: Philosophers Why: The paper is a literature review summarizing existing findings with minimal original mathematical derivations or models, and while it discusses empirical results, it does not present new backtests, datasets, or implementation-heavy analysis. flowchart TD A["Research Goal<br>How does firm size impact equity returns?"] --> B["Methodology<br>Literature Review & Empirical Analysis"] B --> C["Data Sources<br>CRSP, Compustat, Fama-French Datasets"] C --> D["Computational Processes<br>Portfolio Sorts, Regression Analysis, Factor Models"] D --> E["Key Findings<br>Size Effect Exists but Varies by Market & Period"] E --> F["Outcomes<br>Small-Cap Premium Often Captured by HML Factor or Disappears in Large Caps"]