Measuring the Size Factor in Equity Returns

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Does company size effect investment returns? Most people would probably agree that it does, but how do you measure its effect? In this paper, the author proposes a new method for the direct calculation of the effect of size on equity returns.

Author: Robert Fernholz, Ph.D.

Does company size effect investment returns? Most people would probably agree that it does, but how do you measure its effect? In this paper, the author proposes a new method for the direct calculation of the effect of size on equity returns.

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The Journal of Performance Measurement

The Performance Measurement Resource.

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