BLUE CHIPS IMPERSONATING SMALL CAPS

摘要

So what do you like? Small caps? Big caps? It's often one of the first things asked by somebody trying to find out what kind of investor you are. And since the iconic June 1992 Journal of Finance paper, "The Cross-Section of Expected Stock Returns," by Eugene Fama and Kenneth French, the size factor (the "small-cap" effect) has moved beyond popular discussion into the quant mainstream.