Before revision:  We regress alpha and beta over size and other factors for individual stocks in Standard & Poor 500,  for randomly generated portfolios , and for Standard Poor 400 Mid-Cap and 600 Small-Cap. The novelty of our research is that we compare exchange-traded funds (ETFs) consisting of large-, mid- and small-cap stocks, including international ETFs.
After revision:  We regress alpha and beta over size and other factors for individual stocks in Standard & Poor 500, for randomly generated portfolios , and for Standard . In addition, we compare exchange-traded funds (ETFs) consisting of large-, mid- and small-cap stocks, including international ETFs.