Ceramic capacitors of the same dielectric type and voltage rating that are physically larger will typically have less voltage coefficient (except C0G/NP0 type, which have hardly any voltage coefficient). They typically have more ESL. The voltage coefficient can lead to extreme drop in capacitance, to the point where they mostly disappear at rated voltage. You have to dig into the detailed information from manufacturers to get that information. You should not assume that smaller is always better.
With other capacitor types such as electrolytic and film, for the same capacitance, dielectric type, and voltage rating, the size is perhaps more indicative of technology level than of any systemic difference in performance.
But some capacitors with different dielectrics with (say) extremely good DA performance may be physically much larger and have other unpleasant characteristics (thinking of polystyrene here, which cannot withstand the SMT process and barely tolerates hand soldering). Similarly PP capacitors tend to be somewhat better and larger than polyester (Mylar). There are newer SMT-compatible (high temperature) film dielectrics such as PPS that are middling good.
That's just an overview of a few types, and a fat book could easily be written just on the various types of capacitors and their various non-ideal characteristics and trade-offs.