Size factors: distinguish market capitalization from a return spread

This article measures size as share price multiplied by a specified share count. A low-priced share can belong to a larger company. Define whether the count excludes treasury stock or represents free float.

Use price and shares appropriate to the same date. Mixing conventions makes cross-company comparisons difficult.

EX-A has a price of 500 yen and 20 million shares, giving capitalization of 10 billion yen. EX-B has a price of 2,000 yen and 2 million shares, giving 4 billion yen. A is larger despite its lower share price.

A two-for-one split halves price and doubles shares, leaving capitalization unchanged if everything else is equal. These are fictional calculations.

A fixed yen threshold and a daily percentile boundary answer different questions. Predefine the eligible market, rebalance dates and missing-data policy.

Preserve delisted companies where the study requires them. Check whether size groups mainly reflect sectors, listing segments or uneven data coverage.

Market capitalization is a company characteristic. An academic size factor is a time series calculated from specified portfolio groups and weights. Construction details matter.

If fictional small and large portfolios return −1% and −3%, their spread is +2 percentage points. A positive spread does not imply a profitable long-only small portfolio.

KabuForge’s public course separates momentum features from future-return labels. Its workflow can inform a size study, without establishing automatic share-count acquisition or a built-in size strategy.

Check missingness, quantiles and costs separately. Read factors, survivorship bias and transaction costs.

Concept references: Fama–French factor construction. Additional reference: size grouping within the five-factor construction. Software workflow and limitations: KabuForge public GUI research course. Reviewed October 6, 2026. The fictional examples are teaching calculations, not course execution results.

The public course is research-only and does not certify historical information availability. A concept explanation does not establish that every method is implemented in the software. This article recommends no securities, trades or settings. Read the disclaimer.

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