Based on the posts and on the help (which tends to use big names like Apple and Google) it appears that there's a preference for trading big, liquid names. The Set Universe function based on dollar volume also leads me to that conclusion though the function could be used to find small names. The attraction of trading large names is clear especially if one has used back-testing. Back-testing with relatively small, less liquid names introduces the risk that the back-test doesn't adequately capture real world trading costs.
With all that said, particularly for mean-reversion strategies (my post on the Tutorials? thread led me to create this post), I wonder if many of those who live here in Quantopia would be better off focusing on smaller issues. Again based on posts here, I gather many are not millionaires. There are small amounts to trade. My point is that the small investor has one advantage over the institutional investor - the small investor can trade smaller names that the institutional investor will not touch.