Size Effect Anomaly in Indian Stock Market : Time Series Analysis

[enter Abstract Body]The study attempts to find out investment strategy based on size effect results in companies to outperform the market index. The study aims to find out whether the size effect anomaly is present in Indian stock market. The sample consists of companies listed in BSE 500 Index from the period of March 2002 to March 2014. Portfolios are constructed based on net sales and fixed assets. The monthly returns on all the securities are compared against the benchmark of Sensex monthly returns. Correlation and regression analysis are used as statistical tools for data analysis. The findings reflect the presence of abnormal returns for large stocks portfolio but its absence for small stocks portfolios. Therefore, there is absence of size effect in Indian stock market. The two main limitations are: 1. the study is carried out only for the period of thirteen years. 2. Only Sensex as benchmark is considered. The research paper is empirical in nature