If we demonstrate it using illiquid micro-caps then we've demonstrated that low liquidity and
small capitalization stocks outperform, which everyone already knows, but we've shown nothing about our quantitative value metrics.
Not exact matches
This is because
small -
capitalization stocks outperform large
capitalization stocks generally over time, though with greater volatility, which is why the allocation is not larger.
5) There are reasons to doubt whether
Small Capitalization Value
stocks really do
outperform the market and, if so, by how much.
James O'Shaughnessy, in the 2005 edition of his book, What Works on Wall Street, wrote that
small caps
outperform «not because of market
capitalization alone but because the
stocks in this category are least efficiently priced.»