The size of a company is represented by its market capitalization (number of shares outstanding multiplied by market price per share). Typically, small companies tend to be more risky and produce higher excess returns compared to large companies. This is not always the case, and deviations from this rule can occur dramatically and for long periods of time. However, the size of a company, when taken into account alongside other key factors, can help in the asset decision process.
To get a more detailed look at the data set please click the link. French Fama Data set