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REASSESSING VALUE AND SIZE EFFECTS IN THE INDIAN STOCK MARKET

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American International Journal of Business and Management Studies2025https://doi.org/10.46545/aijbms.v7i1.369article
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What the paper says

Market anomalies, such as the value and size effects, question the Efficient Market Hypothesis by indicating systematic return differentials between valuation- and size-based portfolios in emerging markets like India, where prior evidence remains inconclusive. This study examines the existence of value and size anomalies in the Indian stock market during October 2013 to September 2024. The analysis uses monthly data of BSE 500 constituent firms obtained from the Capitaline database and the BSE website. Annual quintile portfolios are created based on Price-to-Book (P/B), Price-to-Earnings (P/E), and market capitalization, with differences in mean monthly returns analyzed using the Welch t-test. The P/B-based value portfolio (Q5) outperformed the growth portfolio (Q1) in 7 of 11 years (63.64%), with 6 years significant at the 1% level (t-values ranging from –3.092 to –8.895). For example, in 2022, value stocks earned 4.9490% versus 0.2599% for growth stocks (t = –8.895, p < 0.01), and in 2020, 6.6041% versus 3.9420% (t = –5.224, p < 0.01). Under P/E sorting, value portfolios outperformed in 7 of 11 years (63.64%), with 5 years significant at the 1% level; in 2022, value stocks generated 4.0761% compared to 0.6164% for growth stocks (t = –6.320, p < 0.01). Regarding size, small-cap portfolios exceeded large-cap portfolios in 9 of 11 years (81.82%), with 8 years significant at 1% or 5% levels; in 2013, small-caps earned 9.3136% versus 2.8768% (t = –10.830, p < 0.01), and in 2020, 7.5430% versus 3.5413% (t = –8.227, p < 0.01). Overall, value portfolios produced monthly mean returns up to 4.689 percentage points higher than growth portfolios, and small-cap portfolios delivered excess monthly returns up to 6.437 percentage points over large-cap portfolios, confirming statistically significant value and size effects in the Indian equity market.

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https://doi.org/https://doi.org/10.46545/aijbms.v7i1.369

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@article{unknown2025,
  title        = {{REASSESSING VALUE AND SIZE EFFECTS IN THE INDIAN STOCK MARKET}},
  author       = {Unknown author},
  journal      = {American International Journal of Business and Management Studies},
  year         = {2025},
  doi          = {https://doi.org/https://doi.org/10.46545/aijbms.v7i1.369},
}

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REASSESSING VALUE AND SIZE EFFECTS IN THE INDIAN STOCK MARKET

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0.50

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.50 × 0.4 = 0.20
M · momentum0.50 × 0.15 = 0.07
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

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