Isn't the argument against using market caps which are less than $1bn being partly driven by the need for having stocks with market caps that most institution can buy? Forget about the bankruptcy question as everyone agrees that small caps are risky and the smaller the cap, the more the risk. What would happen is you look at companies in the the $500mn to 1bn range and the $250 to $500 mn range? This is the only fair way to look at the small cap effect? Then if the lowest market cap does well, you can raise questions of liquidity, etc.