Size Effect and Seasonality in Size-Sorted Portfolios- Evidences from India

Abstract

The size or market cap of a company is a reflection of its business activities. The style managers have argued that it is not mandatory to invest in a large cap stock. A style based on mid-cap or small-cap can also result in abnormal returns. Once a portfolio strategy is drawn, the next focus of a portfolio manager is to identify if any specific time in a calendar year exists which may result in significant abnorm al returns. The objective of present study is to examine the size effect, i.e., size of the stock affect the return performance.