Size Effect in Indian Stock Market: Some Empirical Evidence

Sanjay Sehgal and Vanita Tripathi ()

Vision, 2005, vol. 9, issue 4, 27-42

Abstract: In this study we attempt to test if there is a size effect in Indian stock market. The data relates to the top 482 Indian companies for the period 1990–2003. We find a strong size premium using six alternative measures of company size, viz., Market Capitalization, Enterprise Value, Net Fixed Assets, Net Annual Sales, Total Assets and Net Working Capital. Further the size based investment strategy seems to be economically feasible as it provides extra normal returns on risk adjusted basis. Frequent rebalancing of size based portfoilo is however found to be undesirable. The size effect does not seem to be owing to any seasonality or business cycle factors. The study has strong implications for mutual funds managers, investment analysts as well as small investors who are continuously on the lookout for trading strategies that beat the market. The presence of a strong size premium also raises doubts about the informational efficiency of Indian equity market.

Date: 2005
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
https://journals.sagepub.com/doi/10.1177/097226290500900403 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:sae:vision:v:9:y:2005:i:4:p:27-42

DOI: 10.1177/097226290500900403

Access Statistics for this article

More articles in Vision
Bibliographic data for series maintained by SAGE Publications ().