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 abnormal returns. The objective of present study is to examine the size effect, i.e., size of the stock affect the return performance of the size-sorted portfolio or not. In addition to this, the seasonal performance of the portfolios has also been examined to study Month of the Year anomaly. The present study has taken a time period of around 20 years, i.e., March 1995 to March 2015. The findings of the present study have given various cues for size effect and seasonality in size-sorted portfolios. For a longer-term investment, all size-sorted portfolios perform significantly. Therefore investors can invest in any types of sizesorted portfolio depending upon their income level.
Size Effect and Seasonality In Size-Sorted Portfolios: Evidences from India
Journal of Accounting and Finance
Vol. 29 - No. 2