The article investigates if there is a size effect anomaly in the Indian stock market by analyzing companies in the BSE 500 Index from 2002 to 2014. Portfolios were created based on company size, and monthly returns were compared to the Sensex index. The study found abnormal returns for large stocks but not for small stocks, indicating the absence of a size effect in the Indian stock market. The main limitations were the study's duration of 13 years and the use of only the Sensex as a benchmark.