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- Title
Long-Only Value Investing: Does Size Matter?
- Authors
Vogel, Jack
- Abstract
The academic value factor (long cheap stocks, short expensive stocks) earns higher returns among small-cap stocks. When viewed through the lens of a long-only value investor, however, size is a less important factor. For example, equally weighted large-cap value portfolios have 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: Equally weighted large-cap value portfolios have approximately 11 times (or more) the liquidity of small-cap value portfolios.
- Subjects
VALUE investing (Finance); LIQUIDITY (Economics); STATISTICS; STOCK exchanges; CORPORATE finance
- Publication
Journal of Beta Investment Strategies, 2022, Vol 13, Issue 4, p107
- ISSN
2771-6511
- Publication type
Article
- DOI
10.3905/jbis.2022.1.018