TY - JOUR T1 - Long-Only Value Investing: Does Size Matter? JF - The Journal of Beta Investment Strategies DO - 10.3905/jbis.2022.1.018 SP - jbis.2022.1.018 AU - Jack Vogel Y1 - 2022/10/21 UR - https://pm-research.com/content/early/2022/10/21/jbis.2022.1.018.abstract N2 - 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. ER -