Role of size and risk effects in value anomaly: Evidence from the Indian stock market

Figures & data

Table 1. Minimum, Mean & Maximum Values of PB for Growth & Value Portfolios

Portfolio Formation Year	Growth Portfolio			Value Portfolio
	Min	Mean	Max	Min	Mean	Max
2009	3.93	9.70	86.14	0.15	0.30	0.4
2010	4.93	24.86	328.36	0.16	0.42	0.56
2011	4.41	16.26	202.48	0.1	0.31	0.44
2012	3.49	10.14	142.42	0.06	0.22	0.33
2013	3.02	6.94	31.47	0.01	0.15	0.22
2014	5.06	10.41	40.09	0.05	0.26	0.38
2015	6.84	16.48	133.4	0.03	0.25	0.39
2016	6.21	14.36	108.83	0.05	0.28	0.41
2017	6.88	16.26	116.22	0.06	0.33	0.52
2018	6.08	14.83	184.76	0.05	0.27	0.42

Table 2. Returns of Growth and Value portfolios

Portfolio Formation Year	Growth Portfolio	Value Portfolio	p-value	Outperformer
2009	0.493	0.805	0.001***	Value
2010	0.193	−0.005	0.019**	Growth
2011	−0.040	−0.129	0.061*	Growth
2012	0.051	−0.153	0.000***	Growth
2013	0.485	1.068	0.000***	Value
2014	0.553	0.066	0.000***	Growth
2015	0.191	0.394	0.052*	Value
2016	0.222	0.348	0.097*	Value
2017	0.051	−0.044	0.087*	Growth
2018	−0.074	−0.217	0.054*	Growth

Note—“***” indicates t-test is significant at 1%. “**” indicates t-test is significant at 5%. “*” indicates t-test is significant at 10%.

Table 3. Average size-controlled-returns of Growth and Value portfolios

Portfolio Formation Year	Growth Portfolio	Value Portfolio	p-value	Outperformer
2009	−0.115	−0.084	0.757
2010	0.178	−0.063	0.003***	Growth
2011	0.028	−0.039	0.151
2012	0.064	−0.067	0.010**	Growth
2013	−0.203	0.506	0.000***	Value
2014	0.306	−0.271	0.000***	Growth
2015	0.012	−0.065	0.445
2016	−0.110	−0.140	0.691
2017	0.011	−0.084	0.083*	Growth
2018	0.003	−0.040	0.543

Note—“***” indicates t-test is significant at 1%. “**” indicates t-test is significant at 5%. “*” indicates t-test is significant at 10% .

Table 4. Average beta for Growth and Value portfolios

Portfolio Formation Year	Growth Portfolio	Value Portfolio	p-value	Higher Systematic Risk
2009	0.858	0.898	0.360	Value
2010	0.892	0.983	0.026**	Value
2011	0.843	1.047	0.000***	Value
2012	0.770	1.084	0.000***	Value
2013	0.753	1.175	0.000***	Value
2014	0.858	1.165	0.000***	Value
2015	0.881	1.210	0.000***	Value
2016	0.942	1.106	0.010**	Value
2017	1.016	1.038	0.747	Value
2018	1.017	1.145	0.061*	Value

Note—“***” indicates t-test is significant at 1%. “**” indicates t-test is significant at 5%. “*” indicates t-test is significant at 10%.

Table 5. Percentage of large and small firms in Growth and Value portfolios

Portfolio Formation Year	Percentage of Large firms in Growth portfolio	Percentage of Small firms in Value portfolio
2009	68%	70%
2010	70%	75%
2011	70%	75%
2012	73%	72%
2013	81%	68%
2014	75%	74%
2015	70%	68%
2016	68%	67%
2017	65%	69%
2018	70%	69%

Note—Firms in the top 3 decile of a descending sort on market capitalization are considered as large firms and the bottom 3 deciles are considered as small firms.