We compare performance of US stocks based on their size (market capitalization). 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. Conclusions: Size and market exposure (beta) are inversely related (strong evidence for ETFs , weak for individual stocks) . No conclusive evidence about dependence of excess return (alpha) on size, or international markets .
We compare performance of US stocks based on their size (market capitalization). We regress alpha and beta over size and other factors for individual stocks in Standard & Poor 500, and for randomly generated portfolios . In addition, we compare exchange-traded funds (ETFs) consisting of large-, mid- and small-cap stocks, including international ETFs. Conclusions: Size and market exposure (beta) are inversely related (strong evidence for ETFs and portfolios, weaker evidence for individual stocks) .
A
and
D
, and for Standard
R
Poor 400 Mid-Cap and 600 Small-Cap. The novelty of our research is that
. In addition,
R
, weak
and portfolios, weaker evidence
D
. No conclusive evidence about dependence of excess return (alpha) on size, or international markets