If something happens that you need to find out about in a hurry, you may not be able to get the information from your broker's research. It always helps if you can call up the company and ask what's going on. We try to pick those companies with high quality earnings, good cash flow and a management we feel comfortable with. The lack of good, available information on small companies sounds dangerous. If you can find them, the potential for capital appreciation is great.
Liquidity is a key.
If a stock were very illiquid, we would not buy it even if we were very confident of the fundamentals. We don't want to be stuck. At the same time, we don't discriminate against entire markets because of the perception that the market is not liquid. In our experience, you can find a company that is reasonably liquid in any market. Of course, by itself that doesn't mean you want to invest.