Dijk, Mathijs A. van - In: Journal of Banking & Finance 35 (2011) 12, pp. 3263-3274
Beginning with Banz (1981), I review 30years of research on the size effect in equity returns. Since Fama and French (1992), there has been a vigorous, ongoing debate on whether the size premium is a compensation for systematic risk. Since the late 1990s, research on the size effect has been...