So said Mike Crain (Financial Valuation Group) in the recent BVR webinar, The Diminishing Size Effect and Link to Liquidity Risk. The empirical research finds that the size effect in listed stocks (meaning public company stocks listed with the regulator) has disappeared or diminished in the U.S., the U.K., and globally since the 1980s,” said Crain.

Co-presenter William Kennedy (FTI Consulting) concurred. “We really do have a very different market structure and market conditions today than we did in those earlier decades, and these structural changes may render some of the statistical results that we we’re seeing from [that earlier time] not relevant to today's markets and trading environment.”

For more data, analysis, and citations to authority, consult Crain’s comprehensive article, “Literature Review of the Size Effect” on SSRN.com, and,  “Has the Size Effect Disappeared?” in the Business Valuation Update (Dec 2010).