Cliff Asness on the small firm effect - what happened?

Maverick2608 said:
Can anyone explain why Cliff Asness went from article 1 in 2015 to article 2 in 2018? The latter article does not provide an explanation.

Article 1:
https://www.aqr.com/Insights/Perspectives/The-Small-Firm-Effect-Is-Real-and-Its-Spectacular

Article 2:
https://www.institutionalinvestor.com/article/b18rdykthdlk50/cliff-asness-knows-less-than-he-thought
More...
Here is the paper with the new research:
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3177539

Here is a quote from his letter:
"There isn’t one. That is, there isn’t a pure size effect (there is a paper). In fact, there never was a size effect. Among other issues, the data used to discover it was flawed (though no fault of the author, that was the data back then) in a way that favored small stocks. Using more accurate modern data there simply is no additional premium for small stocks beyond that which comes from their having a larger market beta (and if you want to squint really hard to find some alpha in the really small stocks you run into big liquidity issues as described in the paper)."
 
Maverick2608 said:
Can anyone explain why Cliff Asness went from article 1 in 2015 to article 2 in 2018? The latter article does not provide an explanation.
More...
Also, a sinister thought is that since he's running a 200 yards, it's not wise for him to point out that true opportunities are capacity constrained :)
 
You must log in or register to reply here.
Back
Top