There is no Small cap premium

[Victor1991]

Great post.

@SmartMoney

EV, the volume, the price, the number of Analysts

I think this related to what @yuvaltaylor calls augmenting factors and what you described here are examples of procedures of finding these augmenting factors.

@SmartMoney

eval(close(0,getSeries(“RSP:USA”)) > highVal(60, 0, getSeries(“RSP:USA”))*0.99, MktCap, NA)

I’ve had some succes using a similar factor using the high yield spread as pointed out here: Crisis Investing - #4 by RTNL. Basically it is the same but instead of RSP:USA, ##CORPBBOAS and a minimum treshhold for the high yield spread (>5). Gives similar resuts.