Size Matters, Says Cliff Asness, But Watch Your Junk
In the early eighties, researchers noticed that small stocks had been outperforming large stocks – for no obvious reason – for a very long time. This size premium has attracted a lot of attention and a lot of criticism over the years, raising the possibility that it may have been an arbitrage opportunity that dried up when it became well known or even just a case of data mining. But AQR Capital Management managing principle Cliff Asness says . . .
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