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Cliff Asness on Quant Value Investing

Masters in Business

CHAPTER

Is Small Cap Making More Money?

Small has a higher beta than large. So if you go long, small and short, large, you have a positive beta left over. Small caps seem to be priced reasonably efficiently versus large caps. If their betas are underestimated, meaning we thought they were too low, we've overestimated their alphas.

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