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I . Of course , smaller stocks are also associated with higher risk . Hence , redo the Fama - MacBeth regressions , use the

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I . Of course , smaller stocks are also associated with higher risk . Hence , redo the Fama - MacBeth regressions , use the MarketCap as of January for each year , and the CAPM- beta ( estimated over the whole sample ) as a control variable , to explain monthly returns ( as before ) . Higher MarketCap is associated with higher returns and this relation is statistically significant ( t-statistic below - 2 or above 2 )* Lower MarketCap is associated with higher returns and this relation is statistically* significant ( t - statistic below - 2 or above 2 ) . [ Higher MarketCap is associated with higher returns but this relation is

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