PT  - JOURNAL ARTICLE
AU  - Jack Vogel
TI  - Long-Only Value Investing: Does Size Matter?
AID  - 10.3905/jbis.2022.1.018
DP  - 2022 Nov 30
TA  - The Journal of Beta Investment Strategies
PG  - 107--121
VI  - 13
IP  - 4
4099  - https://pm-research.com/content/13/4/107.short
4100  - https://pm-research.com/content/13/4/107.full
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.