Size premium in equities
18 papers on size premium in equities as a systematic trading strategy. Size premium papers on single stocks and equity indices: 18 of the 22 in size premium. 11 name a method, most often linear factor models (11). The most cited is Digesting Anomalies: An Investment Approach (2012).
Papers181998–2026
Share of the family82 %18 of 22
| cited by | method | ||
|---|---|---|---|
| Digesting Anomalies: An Investment Approach by Hou et al. | 152 | Linear factor models | 2012 |
| Murphy's Law and Market Anomalies by Dimson and Marsh | 25 | 1998 | |
| Production of U.S. Rm-Rf, SMB, and HML in the Fama-French Data Library by Fama and French | 8 | Linear factor models | 2023 |
| The Correlations and Volatilities of Stock Returns: The CAPM Beta and the Fama-French Factors by Suh | 6 | Linear factor models | 2009 |
| Portfolio Overlapping Bias in Tests of the Fama and French Three-Factor Model by Wallmeier and Tauscher | 5 | Linear factor models | 2012 |
| Investment Strategies, Fund Performance and Portfolio Characteristics by Engström | 4 | 2004 | |
| The Size Effect in Value and Momentum Factors: Implications for the Cross-Section of International Stock Returns by Atanasov and Nitschka | 3 | 2013 | |
| The Pricing of Liquidity Factors by Hong and Chung | 1 | Linear factor models | 2024 |
| Factors and Anomalies in the Vietnamese Stock Market by Huang et al. | 1 | Linear factor models | 2023 |
| The Inherent Value of Retail Prop Firms for Fixed-Size Trading Strategies by Youngblood | 0 | 2026 | |
| The Migration of Small Cap Premia into Private Markets and Historical Lessons in Manager Selection by Widmaier | 0 | 2026 | |
| An Auto-Residual Factor Model by Alkshaik | 0 | Linear factor models | 2025 |
| Market-Neutral Strategies in Mid-Cap Portfolio Management: A Data-Driven Approach to Long-Short Equity by Kothari et al. | 0 | 2024 | |
| Analysis of Tesla by Qu and Gu | 0 | Neural networks +1 | 2022 |
| Asset Pricing in European Real Estate Equity Markets by Schulte et al. | 0 | Linear factor models | 2010 |
| Does Size Effect Still Exist? Evidence from R&D-Intensive Firms by Li | 0 | Linear factor models | 2010 |
| Capital Asset Pricing Model with Size Factor and Normalizing by Volatility Index by Atsiwo and Sarantsev | 2026 | ||
| Non-parametric and semi-parametric asset pricing by Erdos et al. | Linear factor models | 2017 |
Papers on size premium in equities from other families
3 papers| filed under | ||
|---|---|---|
| Smart Beta, Smart Money by Qinhua and Chi | Factor investing | 2017 |
| Empirical Test of Fama French Three Factor Model and Illiquidity Premium in Indonesia by Amanda and Husodo | Liquidity premium | 2014 |
| Risikofaktoren und Multifaktormodelle für den Deutschen Aktienmarkt (Risk Factors and Multi-Factor Models for the German Stock Market) by Hanauer et al. | Factor investing | 2011 |