The problem of the size premium for small capitalization listed on Warsaw Stock Exchange is the main subject of this paper. We find that abnormal returns from small capitalization stocks are not properly explained by standard CAPM approach. The main thesis is that for small capitalization stocks it takes more time to reflect current information in their prices. Therefore, the additional explanatory variable is return realized in the preceding periods. We find that for small capitalization companies the standard CAPM approach systematically underestimates their exposure to market risk resulting in up to 30% the difference in beta coefficient estimators. The results are statistically valid for deciles containing medium and small companies and the additional variable helps to explain the realized return. The importance of this result is that the size premium defined as the increase of beta coefficient should be applied to majority of Polish public and non-public enterprises.