found that the size of the firm has been highly correlated with stock returns
his results indicate that the larger the market value of the firm's common stock, the lower the rate of return generated by the stock
several other studies have confirmed the existence of a small-firm effect. however , in the process of studying the size effect, these researcher have discovered a number of things regarding this anomaly.
first, the risk of small firms was underestimated in the earlier studies because the stocks of small firms do not tread as frequently as those of large firms.