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Measuring The Size Effect With Capitalization-Based ETFs

TedTed
in The Bullpen
FYI: Do popular capitalization-based exchange-traded funds (ETF) confirm the existence of a reliably exploitable size effect? To investigate, we compare the difference in equally weighted returns (small minus large) for the following matched pair of small-large ETFs:
Regards,
Ted
http://www.cxoadvisory.com/4074/size-effect/measuring-the-size-effect-with-capitalization-based-etfs/
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