The article examines how the size of a company affects its stock returns in the Dhaka Stock Exchange. By analyzing different portfolios based on market capitalization and book-to-market ratios, the researchers found that the size of a company does have a significant impact on expected stock returns. The traditional model used to predict stock returns, called the Capital Asset Pricing Model, works better when adjusted to include the size of the company. This means that considering the size of a company can help investors better understand and predict stock returns in the Dhaka Stock Exchange.