000150952 001__ 150952 000150952 005__ 20251017144550.0 000150952 0247_ $$2doi$$a10.1080/1351847X.2019.1644360 000150952 0248_ $$2sideral$$a113031 000150952 037__ $$aART-2021-113031 000150952 041__ $$aeng 000150952 100__ $$aMcGee, Richard J. 000150952 245__ $$aThe size premium as a lottery 000150952 260__ $$c2021 000150952 5060_ $$aAccess copy available to the general public$$fUnrestricted 000150952 5203_ $$aWe investigate empirically the dependence of the size effect on the top performing stocks in a cross-section of risky assets separated by industry. We propose a test for a lottery-style factor payoff based on a stochastic utility model for an under-diversified investor. The associated conditional logit model is used to rank different investment portfolios based on size and we assess the robustness of the ranking to the inclusion/exclusion of the best performing stocks in the cross-section. Our results show that the size premium has a lottery-style payoff and is spurious for most industries once we remove the single best returning stock in an industry from the sample each month. Analysis in an asset pricing framework shows that standard asset pricing models fail to correctly specify the size premium on risky assets when industry winners are excluded from the construction of the size factor. Our findings have implications for stock picking, investment management and risk factor analysis. 000150952 540__ $$9info:eu-repo/semantics/openAccess$$aby-nc$$uhttps://creativecommons.org/licenses/by-nc/4.0/deed.es 000150952 590__ $$a1.903$$b2021 000150952 591__ $$aBUSINESS, FINANCE$$b78 / 111 = 0.703$$c2021$$dQ3$$eT3 000150952 592__ $$a0.578$$b2021 000150952 593__ $$aEconomics, Econometrics and Finance (miscellaneous)$$c2021$$dQ1 000150952 594__ $$a3.0$$b2021 000150952 655_4 $$ainfo:eu-repo/semantics/article$$vinfo:eu-repo/semantics/acceptedVersion 000150952 700__ $$aOlmo, José 000150952 773__ $$g27, 1-2 (2021), 158-177$$pEur. j. financ.$$tEUROPEAN JOURNAL OF FINANCE$$x1351-847X 000150952 8564_ $$s1327421$$uhttps://zaguan.unizar.es/record/150952/files/texto_completo.pdf$$yPostprint 000150952 8564_ $$s1571397$$uhttps://zaguan.unizar.es/record/150952/files/texto_completo.jpg?subformat=icon$$xicon$$yPostprint 000150952 909CO $$ooai:zaguan.unizar.es:150952$$particulos$$pdriver 000150952 951__ $$a2025-10-17-14:11:25 000150952 980__ $$aARTICLE