Here are the reasons I would not DAYTRADE small stocks:

1. The float of these companies is too small for there not be a possibility of manipulation and/or insider selling on the part of promoters,brokers,newsletter writers.
2. The average daily volume is very low. For me this usually means wide spreads and marketmaker manipulation. In other words the marketmakers would skin me alive if I tried to get in/out in the same day.
3. Small companies with very volatile moves tend to attract the SEC. The SEC has a nasty habit of halting stocks like this ( remember CAML?)
4. Small companies can delay news until speculation surrounding their stock subsides. Sometimes they even will post negative news to disrupt the market during the day!

I have experienced all of the above on many occasions, costing more money than I care to discuss.