RT Journal Article SR Electronic T1 Long-Only Value Investing: Does Size Matter? JF The Journal of Beta Investment Strategies FD Institutional Investor Journals SP jbis.2022.1.018 DO 10.3905/jbis.2022.1.018 A1 Jack Vogel YR 2022 UL https://pm-research.com/content/early/2022/10/21/jbis.2022.1.018.abstract AB 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.