This study revisits size effect and its associated issues, in the Indian market, as recent studies question the persistence of size premium in the global context. We use data from NIFTY 200 stocks for the period 2005 to 2018 and find size effect to be significant for both market-based and accounting-based measures of size. It is not impacted by any definitional issues as highlighted by Berk (Financ Anal J 53(5):12–18, 1997). Size effect also remains significant despite alternative portfolio constructions i.e. forming quintiles, deciles, scores of portfolios even though the premiums vary. Existing literature on size anomaly does not focus on size drift and survivorship bias. We specifically address these dimensions relating to size effect which have received less attention in prior work. In this study, size effect is found to be sensitive to drift in market capitalization. Historical market capitalization used to categorize medium (large) firms may now be a basis for classifying small (medium) firms in recent time periods. Small sized portfolio adjusted for drift provides substantially higher return compared to unadjusted small sized portfolio. Further, to evaluate survivorship bias, size-based portfolios are redesigned using changing components of NIFTY 200 for each formation period. This leads to considerable weakening of size effect. Investors must take this fact into consideration while creating size based portfolios. However, upon using another stable universe of F&O traded stocks, size effect is found to be significant. The study contributes to size anomaly literature for Indian market and shall be useful for portfolio managers, investors, academia and regulators.

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印度股票市场的规模效应：神话还是现实？

本研究重新审视了印度市场的规模效应及其相关问题，因为最近的研究质疑全球范围内规模溢价的持续性。我们使用 2005 年至 2018 年期间 NIFTY 200 股票的数据，发现规模效应对于基于市场和基于会计的规模衡量指标都很重要。它不受 Berk 强调的任何定义问题的影响（Financ Anal J 53(5):12-18, 1997）。尽管有不同的投资组合结构，即形成五分位数、十分位数、分数的投资组合，即使溢价不同，规模效应也仍然显着。现有关于尺寸异常的文献并未关注尺寸漂移和生存偏差。我们专门解决了与尺寸效应相关的这些维度，这些维度在之前的工作中受到的关注较少。在这项研究中，发现规模效应对市值的漂移很敏感。用于对中（大型）公司进行分类的历史市值现在可能成为近期对小型（中）公司进行分类的基础。与未经调整的小型投资组合相比，针对漂移进行调整的小型投资组合提供了更高的回报。此外，为了评估生存偏差，使用 NIFTY 200 的每个形成期的变化组件重新设计基于规模的投资组合。这导致尺寸效应显着减弱。投资者在创建基于规模的投资组合时必须考虑到这一事实。然而，在使用另一个稳定的 F&O 交易股票范围时，发现规模效应是显着的。该研究有助于印度市场的规模异常文献，并将对投资组合经理有用，