JFE

Brown, P., et al. (1983). "New evidence on the nature of size-related anomalies in stock prices." Journal of Financial Economics 12(1): 33-56.
    This paper is concerned with the size-related anomalies in stock returns reported by Banz (1981) and Reinganum (1981). They showed that small firms have tended to yield returns greater than those predicted by the traditional CAPM. We find that the size effect is linear in the logarithm of size, but reject the hypothesis that the ex ante excess return attributable to size is stable through time. We briefly analyze the Seemingly Unrelated Regression Model (SURM) and a two-step procedure as two alternative estimators of the size effect. Due to the instability of the effect, we find that the estimates are sensitive to the time period studied.



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http://www.sciencedirect.com/science/article/pii/0304405X83900260

New evidence on the nature of size-related anomalies in stock prices