A. This is one of many investment anomalies that could be best explained by Behavior Science.
Wikipedia has a long list of cognitive biases. Some of the well known and closely related to investment are:
- Recency Bias: we overweight what happened recently and extrapolate it to the future
- Availability Bias: we tend to invest in something we could recall.
- Familiarity Bias: we perceive less risk in something we are familiar with
- Aversion to Loss Bias: we show a significant aversion to losses and debt
For example, we all know some of the famous big tech names, such as Apple, Amazon, etc. so when we invest, we tend to invest in names we have heard of or have used their products rather than the unknown small cap stocks.
If you could overcome such human behavior biases, you could potentially capture some of the "premiums" exhibited by various investment opportunities, such as small cap premium (over large cap), value stock premium (over growth stocks), etc.