At the begining of the 1990's, several studies have shown that over the long run portfolios of small capitalization or of value stocks exhibit, a larger return than the one implied by the CAPM. During the 1995 to 2000 period, this effect has been reversed. Since the bubble's burst in the year 2000, the "small cap" and "value effects" are again predominant as shown by this article.
AFTALION, F. (2004). L'investisseur intelligent et le marché. Les Echos, pp. 15.