We compare performance of US stocks based on their size (market capitalization). We regress alpha and beta over size and other factors for individual stocks in Standard & Poor 500, for randomly generated portfolios. The novelty of our research is that we compare exchange-traded funds (ETFs) consisting of large-, mid- and small-cap stocks, including international ETFs. Conclusions: Size and market exposure (beta) are inversely related (strong evidence for ETFs, weaker for individual stocks). No conclusive evidence about dependence of excess return (alpha) on size, or international markets.
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