Returns of small capitalization stocks Fama and french(1992) Rank the stocks into ten deciles based on market capitalization every year Compute the average l-year holding period return after portfolio formation Found small stocks have higher returns than big stocks 963-1991) Fama and french do a secondary sort by beta within each size decile, and find that beta can not explain the returnsReturns of small capitalization stocks • Fama and French (1992) – Rank the stocks into ten deciles based on market capitalization every year; – Compute the average 1-year holding period return after portfolio formation. – Found small stocks have higher returns than big stocks (1963-1991) – Fama and French do a secondary sort by beta within each size decile, and find that beta can not explain the returns