Dose Size Effect really exist in Indian financial market?

The present study is based on the study of one of the anomalies of the stock market. It aims to find out the presence of size effect on stock returns in the Indian stock market. The research is carried on studying the impact of the size of the company on the returns from its stock in the stock market (viz. National Stock Exchange). To conduct the study the market capitalization of the stocks is taken as the size of the company (i.e., Large Cap, Mid Cap and Small Cap). Returns from the stocks of 50 companies each from all the three sizes of the companies has been compared to prove the hypothesis. To study the impact of the size effect the daily returns from the stocks has been compared and further the respective abnormal returns have also been compared for an elaborate analysis. Moreover, the study focuses on finding answer to the question, “Can anybody outperform the market by designing size-based investment strategies?” The present study is of immense use for the portfolio managers, asset management companies as well as individual investors. Stock prices of last five years have been taken for the study