That was actually an anecdote I heard from a professional quant. His friend had conducted a large research project and found that market cap was not the actual driver of returns, but instead price was driving market cap. One of the issues with finance, one that we're trying to solve, is that everything is secret and nothing is shared. I don't have specific references or papers I can point you to that show this, so it's certainly not something you should take to the bank, but the argument is as follows.
Market Cap = Outstanding Shares x Price per Share
Outstanding Shares doesn't change that much, Price per Share does.
Therefore most of the movement in Market Cap is driven by Price per Share.
Therefore factors that are driven by Market Cap are also driven by Price.
A very interesting research project would be to try to verify this hypothesis. If you have any luck, please share your notebook here.
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