Finance Theory — 13.3: Size, Value, and Momentum Effects

Описание: Why did the smallest, cheapest, and best-performing stocks beat the market for decades — and why is that so hard to exploit? This video examines three of the most famous anomalies in financial economics: the size premium, the value premium, and momentum. We walk through the historical evidence, show how each effect behaves in real portfolio data, and explain why these patterns weaken once investors try to profit from them.

Key concepts covered:
• Market capitalization and the size premium (~500-600 basis points historically)
• The January effect and why the size premium nearly vanishes without it
• Book-to-market ratios and the value vs. growth stock debate
• Momentum: the 15+ percentage point annual spread between winners and losers
• The anomaly lifecycle — from discovery to publication to decay
• Data mining and the multiple comparisons problem in financial research
• A four-part framework for evaluating any claimed market anomaly
• Why backtested returns consistently overstate real-world profits

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SOURCE MATERIALS
The source materials for this video are from    • Ses 13: Risk and Return II & Portfolio The...