Vemos lo que nos dice Burton G. Malkiel, professor of economics at Princeton University
I think that there is evidence that small-cap stocks have generally done a little better than large-cap stocks, and this is a big controversy within the economics profession. Some people say, “Well, that shows you the market isn’t efficient, because otherwise you couldn’t make more money by buying small-cap stocks.” The other explanation is that small-cap stocks tend to be riskier, and the idea that markets are efficient does not mean that if you take on more risk, you shouldn’t get a higher rate of return. The idea is that instead, risk and return are related, and if you take on more risk, you should get a higher rate of return. The fact that some of these patterns hold historically is not inconsistent with efficient markets and may simply reflect that risk and return are related. The second point to make on this is that while it’s true that small has generally done better than large, and “value” has done better than “growth,” it doesn’t happen every year, so it’s not a sure way of getting higher rates of return each and every year.