Re: Is the Small Cap Premium a Myth?
I think the fama french studies provide good evidence of a small cap premium.
It is important to note that this premium exists over the long term. There have been long periods of time (I think around 10 years) where growth has outperformed value. In addition, small cap value has a higher standard deviation then large cap funds.
Realistically, it would be difficult for the average person to stay the coarse for such a long time and endure the effects of the high standard deviation.
That is why people diversify.
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