Size Matters, If You Control Your Junk

Yes, that is the actual title of the paper. And it actually has some meaningful, interesting results.

From the abstract:

“The size premium has been challenged along many fronts: it has a weak historical record, varies significantly over time, in particular weakening after its discovery in the early 1980s, is concentrated among micro-cap stocks, predominantly resides in January, is not present for measures of size that do not rely on market prices, is weak internationally, and is subsumed by proxies for illiquidity. We find, however, that these challenges are dismantled when controlling for the quality, or the inverse “junk”, of a firm. A significant size premium emerges, which is stable through time.”

“Size Matters, If You Control Your Junk”, Clifford Asness, Andrea Frazzini, Ronen Israel, Tobias Moskowitz, Lasse Pederson, Feb 2017

See here for paper.

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