In mid-to-late 1990s academic research, many papers studying stock market anomalies used small-cap stocks, some of which had minimal to no trading volume; when Asness challenged academics on this, they responded that you could theoretically capture the premium if you had enough capital to move markets or infinite time, but these responses avoided addressing the real constraint: practical tradability.
factualpending
Speaker
Jim O'ShaughnessyEvidence Quote
“I would get into fights with academics who would say, 'Yeah, but look at the smallest stock decile.' And I'm like, do you do understand that there's no liquidity there”
Created: 8/12/2026, 5:59:18 PM
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