Banz divided firms in the CRSP data tapes for 1926 to 1975 into five quintiles by the total market value of their stocks. On average, the monthly returns on the smallest 20 percent of firms the bottom quintile exceeded the returns on the remainder by around 40 basis points (0.4 percentage points). Cumulate an average monthly difference of that magnitude over years and decades, and the returns on holdings of small stocks were substantially greater than on holdings of larger stocks. Banz found that the difference was not due to different levels of market risk as measured by beta values. "There is no theoretical foundation for such an effect," he commented (Banz 1981, p. 16): it was indeed an anomaly.

Donald MacKenzie, An Engine, Not a Camera, loc. 422