This paper investigates the persistence and nature of the 'Size Premium' in equity markets, challenging conventional risk-based interpretations. By measuring size using dollar-turnover and neutralizing beta and Low-Vol factors, the authors find that the Size Effect remains robust, with the 'Cold-Minus-Hot' (CMH) anomaly exhibiting a t-statistic of 5.1, comparable to well-known factors like Value or Quality. This suggests that size-based strategies are not merely artifacts of other risk exposures.

The study employs methods such as dollar-turnover analysis and statistical neutralization to isolate the pure size effect, revealing that CMH portfolios are less correlated with Low-Vol anomalies than traditional market-cap based SMB portfolios. Key results include the near-zero skewness of size portfolios, with small caps showing positive skewness, which contradicts typical risk premium models that associate small caps with higher risk and negative skewness. The only evidence supporting a risk premium is the higher frequency of extreme drawdowns in small cap/turnover stocks, but this is identified as diversifiable idiosyncratic risk, implying that the size premium may not be fully explained by compensation for systematic risk. This work contributes to factor investing by refining size measurement and questioning risk-based narratives in equity anomalies.