I found this paper that looks at Indias financial market. Thesis of the article is that low price, market cap, P/E, and P/B result in higher returns for penny stocks. Seems like it doesn't really translate to the broader market.
Let me know what I missed- really just trying to learn Quantopians API.
Hello Jack,
Fama and French popularized the idea that smaller cap stocks outperform large cap stocks. Because a lower price does not necessarily mean a security is a smaller cap and vice verca I doubt it would be possible to identify that penny stocks also outperform higher priced stocks. Just because I haven't seen research suggesting this does not mean it does not exist. I myself have observed with an algo that keeping value metrics constant, and limiting by market cap, that small value companies outperform large value companies since 2003. Thus reinforcing my belief that the thesis forwarded by Fama and French still holds true to this day.
Have a good day.
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