What are the economic justifications of the size premium?
The following are NOT my words. Found this online. Please check full article here:

http://www.multifactorworld.com/Lists/Posts/Post.aspx?List=3b285530-ccfa-416a-ba3b-de55213abe17&amp;ID=59

Hope this helps...

Size Premium: Why Does it Exist?
There seems to be general agreement that the size premium is a reward for bearing the risk that small companies may do poorly in bad economic environments. For example, compared to larger companies smaller companies may not be able to easily obtain credit in such environments. Bankruptcy risk is also typically a bigger risk for smaller companies in tough economic environments and in general. It could also be that some portion of the size premium is a reward for bearing the liquidity risk of small stocks compared to large stocks.