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In the literature, it is noted that a portfolio of value stocks outperforms a portfolio of growth stocks and this phenomenon is called value anomaly. This study explores the behavior of value anomaly in the Indian stock markets over a period from December 2008 to December 2019. This study has taken a dataset collected over a longer time span as compared to all previous studies, it studies the effect of holding period (one to five years) and portfolio formation time (quarter-end). We find time varying behaviour of the value anomaly which were previously unexplored. Earlier researchers have found systematic risk and size to be significant factors that contribute to value anomaly. Controlling for systematic risk and size, we find them in our study size to be a significant factor in explaining the return differential between value and growth portfolios and thus, help us in understanding the behaviour of value analysis in Indian stock markets.