This occurred at every size level. However, they will experience greatly increased volatility. Value investors will not experience any significant increase in risk, at least as measured by volatility. The implications of this study, if validated, are staggering for both economists and investors. CAP-M and many of its implications are discredited.
Investors can now construct portfolios with better performance than the market as a whole.
Economists are stuck with the problem of explaining how value stocks can provide higher total returns without being subject to additional risk. The author of CAP-M, William F. Sharpe, seems to be enjoying the debate. He has stated that he thinks Fama and French are on to something. He has also said that he thinks CAP-M, for which he won the Nobel Prize in Economics, was a pretty good first effort, and he is glad that the committee can't take back the prize. You can find plenty of papers posted on the Net at various universities if you care to follow the battle.