"Using a new dataset of accounting information merged with share price data we find a strong value premium in the U.K. for the period 1955-2001. It exists among small-caps as well as among large-caps. However, there are challenges for small-cap managers wishing to capture these higher expected returns. We show that rebalancing-induced portfolio turnover for indexed small-value strategies can be substantial..."
Financial Analysts Journal, Vol. 59, No. 6, pp. 35-45, November/December (2003)
Source: ssrn.com/abstract=376340