Question: What are the Size and Max effects? i.e., do these effects exist? 2. Robustness: Do they exist in different markets, and different periods? 3. Explanations:

What are the Size and Max effects? i.e., do these effects exist?

2. Robustness: Do they exist in different markets, and different periods?

3. Explanations: What do researchers say are the reasons for these effects to exist?

4. Implications to Researchers and Practitioners: If the effects are driven by systematic risks, the strategies will not deliver positive alphas (i.e., positive abnormal returns). They are just fair games. If they are driven by mispricing, opportunity to deliver alphas for my clients!

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The Size and Max effects are phenomena observed in financial markets that have been the subject of extensive research and debate among academics and practitioners Lets explore each aspect 1 Size Effec... View full answer

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