Crossovers, Dividends, and the Size Effect
提出规模效应可能源于高股价波动和低股息支付：股票在大小盘指数间交叉导致小盘指数获得更高回报，而大盘股股息不足以抵消该效应。
The size effect may have been the result of high stock volatility and low dividend payments. Suppose an equity market is partitioned into a large-stock index and a small-stock index, and suppose that, over a given period of time, each of the indexes retains its share of the total market capitalization. Price volatility will cause some stocks to cross over from one index to the other, which will result in higher returns for the small-stock index and lower returns for the large-stock index. Dividend payments by large companies could offset the effect of the crossovers, but they have historically been insufficient to do so. Hence, the size effect.