Can anyone explain why Cliff Asness went from article 1 in 2015 to article 2 in 2018? The latter article does not provide an explanation. Article 1: https://www.aqr.com/Insights/Perspectives/The-Small-Firm-Effect-Is-Real-and-Its-Spectacular Article 2: https://www.institutionalinvestor.com/article/b18rdykthdlk50/cliff-asness-knows-less-than-he-thought
Here is the paper with the new research: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3177539 Here is a quote from his letter: "There isn’t one. That is, there isn’t a pure size effect (there is a paper). In fact, there never was a size effect. Among other issues, the data used to discover it was flawed (though no fault of the author, that was the data back then) in a way that favored small stocks. Using more accurate modern data there simply is no additional premium for small stocks beyond that which comes from their having a larger market beta (and if you want to squint really hard to find some alpha in the really small stocks you run into big liquidity issues as described in the paper)."
Also, a sinister thought is that since he's running a 200 yards, it's not wise for him to point out that true opportunities are capacity constrained
Although in this interview, he specifically points out that he would close down his funds if the strategies became congested. http://investorfieldguide.com/asness/