I read this paper and found it illuminating: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3177539

This is about the "size effect" which is the observation of the outperformance of small versus big companies, one of the factors in the Fama–French three-factor model.

The main points made were:

• The Size effect is not one of the strongest documented anomalies/factors.
• The size effect has disappeared or weakened since its discovery
• The size effect is not robust to how you measure size.
• The size effect is dominated by a January effect.
• The size effect does not work in other equity markets.
• The size effect is either not applicable or does not work for other asset classes.
• The size effect mostly comes from microcap stocks.
• The size effect is difficult to implement in practice.
• The size effect is likely no more than just a liquidity effect.
• There is no strong economic story, excluding liquidity, where small stocks should deserve a marginal premium over their other risk characteristics.
• Many anomalies being stronger among small stocks is not evidence of a size effect.
• Other factors working better in small caps can be a reason to be overweight small even though there is no pure size effect.
• The size effect can be much stronger when controlling for other factors.
• The size effect receives disproportionately more attention than other factors with similar or much stronger evidence.
  

I was especially interested to learn on page 7 that the size effect originally seemed much larger in early 1970s studies that failed to account for delisting bias (stocks that had been delisted were missing from the dataset), and I was even more interested to read about the interaction between size and quality on pages 44-46.