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4min chapter
Cliff Asness - "...But Not So Open Your Mind Falls Out" (S3E13)
Flirting with Models
I've Moved From Thinking the Size Effect Was Small to Thinking It Was Nonexistent
I have moved in the last maybe five years from thinking the size effect was underwhelming to thinking at zero. Small stocks have a larger beta than large stocks, but when you add in at least a one month or even longer lags, you find it's even larger. The illiquidity effects are just way stronger at the daily level. And then the legs come in like maniacs. When you put enough legs in, you don't have a premium.
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